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MERRILL LYNCH SERIES FUND, INC.
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SEMI-ANNUAL REPORT
JUNE 30, 2000
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 2000
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DEAR SHAREHOLDER:
We are pleased to submit this semi-annual report for Merrill Lynch
Series Fund, Inc., in which we summarize the investment performance of each
Portfolio and outline our views on the investment environment. Performance
information for each Portfolio in Merrill Lynch Series Fund, Inc., excluding the
Money Reserves Portfolio, can be found in the tables on page 11 of this report
to shareholders.
BALANCED PORTFOLIO
As of June 30, 2000, the Portfolio's asset allocation was: US stocks, 57% of net
assets; US bonds, 39%; and cash reserves, 4%.
There was little change in the Portfolio's position in US bonds during the first
half of 2000. The appeal of US bonds seemed enhanced in an environment of more
aggressive tightening by the Federal Reserve Board and since there was evidence
of a beginning in the slowdown of US economic activity. However, we believe a
significant decline in US interest rates could hinge on expectations that the
Federal Reserve Board will actually reverse its restrictive monetary policy.
Given this outlook, the average duration of the Portfolio's US bond holdings is
currently maintained at a defensive average of 4.3 years.
Within the equity sector, we expanded the Portfolio's commitment to US equities
from 53% of net assets to 57%. We continue to allocate substantial assets to
"new economy" equities. Companies in technology-oriented areas such as
telecommunications equipment, computers, and software and services should be
relatively immune to a global economic slowdown of modest proportions, in our
view. Representation in old economy sectors was maintained on a selective basis
in order to maintain diversification consistent with the Portfolio's objectives.
Areas with significant representation included financial services, consumer
staples and health care.
CAPITAL STOCK PORTFOLIO
As of June 30, 2000, the Portfolio's asset allocation was: US equities, 81% of
net assets; foreign equities, 13%; and cash reserves, 6%.
We reduced the Portfolio's position in foreign equities from 23% of net assets
to 13% during the first half of 2000. We utilized the proceeds to expand the
Portfolio's US equity representation from 73% of net assets to 81%. This shift
reflected our perception of increased near-term risk in equity markets in an
environment of extreme volatility. However, this reduction does not change our
positive longer-term view toward US and foreign equities.
In our opinion, the most likely economic scenario is a slowdown in the United
States that would reduce inflationary pressures but that would not be
sufficiently intense to adversely impact the rest of the world's economies. The
modest reduction in US and foreign equities to date has not altered the
allocation of significant assets to "new economy" equities in the United States
and the majority of assets in foreign markets to technology-related sectors.
Companies in technology-oriented areas such as telecommunications equipment,
computers, and software and services should be relatively immune to an economic
slowdown of modest proportions, in our view. Representation in old economy
sectors was maintained on a selective basis in order to maintain diversification
consistent with the Portfolio's objectives. Areas with significant
representation included financial services, consumer staples and health care.
GLOBAL STRATEGY PORTFOLIO
As of June 30, 2000, the Portfolio's asset allocation was: US stocks, 27% of net
assets; foreign stocks, 47%; US bonds, 11%; foreign bonds, 9%; and cash
reserves, 6%.
We increased the Portfolio's position in US bonds from 3% of net assets to 11%
during the first half of 2000. The majority of funds used to add to the position
in US fixed-income securities was raised
1
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 2000 (Continued)
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through the reduction of our 16% weighting in foreign bonds to 9%. The appeal of
US bonds seemed enhanced in an environment of more aggressive tightening by the
Federal Reserve Board and because there was evidence of beginning of the
slowdown of US economic activity. However, a significant decline in US interest
rates could hinge on expectations that the Federal Reserve Board will actually
reverse its restrictive monetary policy. Given this outlook, the average
duration of the Portfolio's US bond holdings is currently maintained at a
defensive average of 4.3 years.
In the foreign bond sector, we partially reduced the Portfolio's position in
Germany in favor of Sweden, given what we view to be the latter market's
superior total return potential. We maintained a commitment in the United
Kingdom, and established a position in Canadian bonds in response to its
favorable total return potential relative to the United States.
Within the equity sector, we reduced the Portfolio's exposure to foreign issues
from 52% of net assets to 47% during the first half of 2000, with most of the
cutback taking place in June. At the same time, we expanded the Portfolio's
commitment to US equities from 25% of net assets to 27%. The most significant
reduction within the equity sector was in Japanese equities, which we believe
are sensitive to the domestic economy. Equities of this type could be vulnerable
to earning disappointments resulting from the sluggish pace of Japanese consumer
spending. The remaining Japanese equity positions remain hedged back into US
dollars since we expect the yen to weaken in coming months. We modestly
increased the Portfolio's commitment to Europe. Overall, we continue to allocate
substantial assets to "new economy" equities worldwide. Companies in
technology-oriented areas such as telecommunications equipment, computers, and
software and services should be relatively immune to an economic slowdown of
modest proportions, in our view. Representation in old economy sectors was
maintained on a selective basis in order to maintain diversification consistent
with the Portfolio's objectives. Areas with significant representation included
financial services, consumer staples and health care.
GROWTH STOCK PORTFOLIO
For the six-month period ended June 30, 2000, Growth Stock Portfolio had a total
investment return of +6.87%. This compares to the -0.42% total return for the
unmanaged Standard & Poor's 500 (S&P 500) Index and to the actively managed
Lipper Analytical Services Large Cap Growth Funds Average of +2.90% for the same
period.
The Portfolio's outperformance was the result of our continued focus on
companies in the technology sector with global expertise in communication
systems and components. As of June 30, 2000, three of the Portfolio's top ten
equity holdings were Cisco Systems, Inc., Nortel Networks Corporation and JDS
Uniphase Corporation, all of which are global leaders in the most advanced
communications systems including Internet infrastructure and the new optical
switching and communications systems. As of June 30, 2000, almost 46% of the
Portfolio's net assets were invested in companies in technology sectors, with
the communication equipment industry being the largest exposure at 18.3% of net
assets. The second largest industry representation was energy, at 9.5% of net
assets. We continued to invest on an opportunistic basis during the US equity
market declines in April and May 2000.
HIGH YIELD PORTFOLIO
The first half of 2000 was a difficult period for the high-yield market, owing
to several Federal Funds interest rate increases, relentless mutual fund
outflows, jittery equity markets, limited dealer market making and a high level
of credit distress. In this environment, the unmanaged CS First Boston Global
High Yield Index registered a total return of -0.84% for the six months ended
June 30, 2000, which lagged the ten-year US Treasury return of +5.39%. The
spread between the Index and US Treasury securities of similar maturity widened
to 728 basis points (7.28%) at June 30, 2000, compared to 573 basis points at
year-end 1999.
As a consequence of these bear market conditions, investors showed a clear
preference toward larger and better-quality -- such as those in the
telecommunications and packaging industries, where the
2
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 2000 (Continued)
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few new issues are, or in the more stable utility/independent power producer
area. Many small, illiquid issues have languished, while other credits that have
reported weak earnings have seen their bond prices plunge.
In that regard, despite the robust North American economy, the number of credits
in default or near default climbed in the first half of the year. According to
data compiled by Edward Altman of New York University's Stern School, the
default rate for the six months ended June 30, 2000 equaled 2.61%. If
annualized, the rate would be over 5.0%, which would be the highest level since
1991. Merrill Lynch High Yield Research Chief Martin Fridson notes that the
distress ratio (defined as the percentage of bonds in a sample of 1,295 issues
yielding 1,000 basis points or more above the ten-year Treasury rate) equaled
18.0% on June 15, 2000. This is the highest distress ratio since the 22.3%
figure recorded in January 1992.
Against this backdrop, the Portfolio had a total return of -0.84%, equal that of
our benchmark, the CS First Boston Global High Yield Index. The Portfolio's
results were boosted by our relatively high exposure to the emerging markets
sector, which had a solid +5.65% return for the period. An overweighted position
in the more stable utility/independent power sector also proved beneficial, as
this sector also registered a positive return for the period. Our lack of
exposure to the motion picture exhibitors industry was a return enhancer as
well, as many bonds in this sector fell sharply in price. Individual credit
selection plays an important role, particularly in today's unforgiving
high-yield market. Positive event risk affecting several credits in the
Portfolio had a favorable impact on performance. Among these were premium tender
offers by Grupo Televisa SA and Tekni-Plex Inc. (a global manufacturer of
packaging products). In addition, Applied Power Inc.'s bonds, which are among
the Portfolio's largest holdings, climbed after the company announced a spin-off
that would entail a tender for its bonds. Finally, ICN Pharmaceutical Inc.'s
announcement that it planned to split itself into three companies caused its
bonds to rebound nicely, as such a transaction would most likely trigger the
change of control provision in the bond indenture. In addition to these
event-driven performance boosters, some credits (such as Allied Waste North
America, a major Portfolio holding) saw operational improvements that caused
their bonds to rise.
Unfortunately, several credits in the Portfolio, none of which were a large
holding, entered distressed territory during the period. Factors included
management miscues and severe price competition.
Given the overall weakness in the high-yield market, which was exacerbated by
mutual fund outflows, portfolio managers were forced to sell bonds to raise
cash. Many credits with reasonably good fundamentals saw their bonds drift
lower. As such, we were able to find what we believe to be some attractive
relative values in the secondary market. Among our larger purchases were the
bonds of Level 3 Communications Inc. (a telecommunications and information
services company), Consolidated Container Company (a manufacturer of rigid
plastic containers) and Federal-Mogul Corporation (an automotive parts
manufacturer). The Federal-Mogul bonds were acquired at substantial discounts to
par. Other secondary market purchases included the bonds of Owens-Illinois Inc.
(a manufacturer of plastic and glass packaging products), Vicap SA (a subsidiary
of Grupo Vitro S.A., Mexico's largest producer of flat glass and glass
containers) and Crown Castle (owner of communications towers).
In the new-issue market, our largest purchases were the bonds of Tekni-Plex and
Azurix Corp. (a global water company). Our activity was constrained by Portfolio
outflows.
Our major sales included the bonds of AES Corp. (an independent power producer),
Charter Communications (a cable company) and VoiceStream Wireless, all of which
were sold for relative value reasons and to meet redemptions. We also sold our
entire bond position in wireless company, Nextel Communications. These bonds,
which would soon be called, were a long-time holding and had been excellent
performers. We also disposed of several distressed securities where prospects
for significant recoveries appeared bleak.
Prospectively, we are guardedly optimistic about the total return outlook for
the high-yield market in the latter half of 2000. While the high level of credit
distress is a concern, we would note that the
3
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 2000 (Continued)
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number of rating agency downgrades slowed considerably in the second quarter of
the year. We also believe that the current wide spread to Treasury securities
amply compensates investors for default risk. If the Federal Reserve Board is
finished with its interest rate hikes, that could be the catalyst for a strong
second half, as the high-yield market has historically done quite well in stable
rate environments.
At June 30, 2000, communications and media remained our largest broad industry
category, equaling 27.4% of the Portfolio's total market value. Of the more
narrowly classified sectors, the largest industries were: communications, 12.8%;
paper/packaging, 11.2%; cable (domestic & international), 7.1%; and
utilities/independent power producers, 9.2%. Foreign bonds totaled 21.5% of the
Portfolio's market value, with emerging market issues (primarily Latin American
corporate bonds) accounting for 13.4% of market value. At June 30, 2000, the
average maturity of the Portfolio was 6.9 years, and cash and cash equivalents
amounted to 5.6% of net assets.
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
During the six-month period ended June 30, 2000, fixed-income markets remained
volatile as interest rates moved in a manner that produced an inversion of the
yield curve. The front end of the Treasury yield curve suffered as price
movement in that portion of the curve remained under pressure when investors
demanded greater premiums to account for expected increases in the Federal
Reserve Board's overnight rates. Throughout much of the period, the forward
Federal Funds market continually reflected 50 basis points -- 75 basis points
(0.50% -- 0.75%) of expected tightening in the six-month rolling contract. (The
forward Federal Funds market provides an indication to buyers and sellers of
Federal Funds what the Federal Funds rate is expected to be at some point in the
future, while a six-month rolling contract is an indication of what investors
expect the Federal Funds level to be in six months.) On the other hand,
long-term interest rates were favorably influenced by two separate sets of
events. Inflationary fears, which greatly influence yields on the long end of
the curve have, for the most part, been contained as a result of the Federal
Reserve Board's restrictive monetary policy. Second, a supply imbalance, brought
on by the combination of reduced new issuance and a Treasury buy-back program,
produced a strong bid for securities in the 20-year -- 30-year sector.
Federal Reserve Board monetary policy remained focused on the need to provide
for a slowing in the US economy, which grew at an alarming 7.3% in the fourth
quarter of 1999. Although first quarter growth slowed to 5.5%, the rate is still
well above the Federal Reserve Board's comfort range of 3% -- 3.5%. Consumer
spending continues to fuel the economic fires, although recent reports such as
new housing sales and auto purchases could arguably point to the beginning of a
higher interest rate induced slowdown. Consumers have benefited from low
unemployment rates and the wealth effect generated from a strong stock market,
although if stock market trends mirror the uninspired results reported during
the first half of 2000, consumers may slow spending. Additionally, consumer
confidence was impacted by the dotcom sector sell-off, given the implications
that high levels of leverage (for example, margin on their brokerage accounts
and credit card debt) have on their balance sheets. If the Federal Reserve
Board's monetary policy were to produce something greater than a soft landing,
or should financial assets experience a sustained correction in value, this
would probably translate into a weakening of the economic landscape.
Although inflation has been well contained for the most part, the scope of the
global recovery has led to fears of a rekindling of inflation. Commodity
pressures, as measured by the Commodities Research Bureau Index, have been
building since the beginning of the year. Of prime concern has been a surge in
the price of oil, spurred on not only by the Organization of Petroleum Exporting
Countries production limitations but also on expectations of increased demand by
recovering economies. With respect to wage inflation, whether one evaluates wage
pressures via hourly earnings, real earnings or employment cost measures, the
results have pointed to minimal inflation. The ability to export manufacturing
capacity, combined with the high levels of productivity, has served to limit the
impact of low unemployment. Furthermore, inflation as measured by both the
producer price index and consumer price index
4
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 2000 (Continued)
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has remained well within acceptable levels and has pointed to a lack of pricing
pressures. Notwithstanding the inflation outlook, we expect the Federal Reserve
Board to remain focused on the need to slow economic momentum. The Federal
Reserve Board raised the Federal Funds rate by a more aggressive 0.50% at its
May Federal Open Market Committee (FOMC) meeting. This move now puts the
overnight rate at 6.50%, up 175 basis points in the past year. Given this, and
combined with a clear slowing of economic momentum, the Federal Reserve Board
kept interest rates the same at its June FOMC meeting, although future interest
rate increases are still a possibility.
On the corporate bond front, new issuance, which was minimal as the new year
started, began to pick up during the second quarter, although aggregate levels
are still below forecast expectations. Investor appetite for investment-grade
corporate bonds was somewhat uninspired, given the intent of Federal Reserve
Board policy and the lack of liquidity being provided by the market makers. As a
result, yield spreads trended toward historical highs during this period,
despite a strong business environment and record levels of corporate
profitability. Toward the end of the six-month period, and led by the
compression in swap spreads (that is, the difference in basis points at which an
AA-rated bank could issue debt relative to a similar maturity Treasury
security), corporate bond spreads narrowed as investors perceived the Federal
Reserve Board may be nearing the end of the push to raise short-term interest
rates. This, combined with the very attractive absolute yields, has encouraged
some new money to flow into this sector, a trend we believe may continue as we
move into the second half of the year. As a result, yield spreads on corporate
securities have narrowed.
As we entered the six-month period ended June 30, 2000, the Portfolio held an
overweighted 6% position in mortgage-backed securities, a 10% overweighting in
Federal agency debentures and a 16% underweighting in Treasury securities,
relative to the unmanaged Salomon Smith Barney Government/Mortgage Index. It was
our belief that the yield advantage would work to our favor within the context
of a Federal Reserve Board tightening bias. With respect to mortgages, we
focused on the collateralized mortgage obligation market with particular
interest in higher-quality sequentials and prepayment protected planned
amortization classes. Also, we kept current with respect to coupon. As for
Federal agency issues with a spread to US Treasury issues, we reduced our
holdings in two-year -- seven-year callable securities in favor of longer-dated
bulleted issues (bonds with a single maturity date, unlike serial bonds) given
favorable prevailing spread relationships in the longer end of the curve.
Unfortunately, the Treasury sector caught a technical bid as the Treasury
Department, riding the wave of a Federal budget surplus, announced that it would
be strong buyers of existing Treasury debt, with primary focus on longer dated,
higher coupon issues. In fact, President Clinton went so far as to predict the
elimination of the Federal debt by the year 2013. Instantly, long maturity
Treasury issues had a perceived scarcity value, which led to the outperformance
of this sector during the first half of 2000. The yield on the 30-year Treasury
note rallied sharply from a high of 6.75% in late January to its period low of
5.67% in mid-April. With respect to the Federal agency sector, this market came
under greater pressure by the second quarter, following comments by Treasury
officials supporting the removal of credit lines made available by the Treasury
to agencies such as the Federal Home Loan Mortgage Corporation and the Federal
National Mortgage Association. As a result, the yield spread relationship
compared to Treasury issues widened dramatically, as investors demanded greater
yield premiums to hold agency debt. We believe the market has overreacted and
thereby produced a unique buying opportunity for agency issues with a spread to
US Treasury issues.
We believe the current high-yield levels available on agency debentures and
mortgage-backed securities are attractive. Over long periods of time, agency
debentures could perform better than Treasury debt given its yield advantage and
very similar credit quality. Therefore, we will continue to overweight the
portfolio in agency debentures, preferably in maturities in the 30-year area
where the spread differential is the greatest. With respect to mortgages, we
will continue to maintain our overweighting relative to the benchmark Index,
given our belief that a low prepayment environment could translate into
outperformance for this sector.
5
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 2000 (Continued)
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LONG TERM CORPORATE BOND PORTFOLIO
During the six-month period ended June 30, 2000, fixed-income markets remained
volatile as interest rates moved in a manner that produced an inversion of the
yield curve. The front end of the Treasury yield curve suffered as price
movement in that portion of the curve remained under pressure when investors
demanded greater premiums to account for expected increases in the Federal
Reserve Board's overnight rates. Throughout much of the period, the forward
Federal Funds market continually reflected 50 basis points -- 75 basis points
(0.50% -- 0.75%) of expected tightening in the six-month rolling contract. (The
forward Federal Funds market provides an indication to buyers and sellers of
Federal Funds what the Federal Funds rate is expected to be at some point in the
future, while a six-month rolling contract is an indication of what investors
expect the Federal Funds level to be in six months.) On the other hand,
long-term interest rates were favorably influenced by two separate sets of
events. Inflationary fears, which greatly influence yields on the long end of
the curve have, for the most part, been contained as a result of the Federal
Reserve Board's restrictive monetary policy. Second, a supply imbalance, brought
on by the combination of reduced new issuance and a Treasury buy-back program,
produced a strong bid for securities in the 20-year -- 30-year sector.
Federal Reserve Board monetary policy remained focused on the need to provide
for a slowing in the US economy, which grew at an alarming 7.3% in the fourth
quarter of 1999. Although first quarter growth slowed to 5.5%, the rate is still
well above the Federal Reserve Board's comfort range of 3% -- 3.5%. Consumer
spending continues to fuel the economic fires, although recent reports such as
new housing sales and auto purchases could arguably point to the beginning of a
higher interest rate induced slowdown. Consumers have benefited from low
unemployment rates and the wealth effect generated from a strong stock market,
although if stock market trends mirror the uninspired results reported during
the first half of 2000, consumers may slow spending. Additionally, consumer
confidence was impacted by the dotcom sector sell-off, given the implications
that high levels of leverage (for example, margin on their brokerage accounts
and credit card debt) have on their balance sheets. If the Federal Reserve
Board's monetary policy were to produce something greater than a soft landing,
or should financial assets experience a sustained correction in value, this
would probably translate into a weakening of the economic landscape.
Although inflation has been well contained for the most part, the scope of the
global recovery has led to fears of a rekindling of inflation. Commodity
pressures, as measured by the Commodities Research Bureau Index, have been
building since the beginning of the year. Of prime concern has been a surge in
the price of oil, spurred on not only by the Organization of Petroleum Exporting
Countries production limitations but also on expectations of increased demand by
recovering economies. With respect to wage inflation, whether one evaluates wage
pressures via hourly earnings, real earnings or employment cost measures, the
results have pointed to minimal inflation. The ability to export manufacturing
capacity, combined with the high levels of productivity, has served to limit the
impact of low unemployment. Furthermore, inflation as measured by both the
producer price index and consumer price index has remained well within
acceptable levels and has clearly pointed to a lack of pricing pressures.
Notwithstanding the inflation outlook, we expect the Federal Reserve Board to
remain focused on the need to slow economic momentum. The Federal Reserve Board
raised the Federal Funds rate by a more aggressive 0.50% at its May Federal Open
Market Committee (FOMC) meeting. This move now puts the overnight rate at 6.50%,
up 175 basis points in the past year. Given this, and combined with a clear
slowing of economic momentum, we expected the Federal Reserve Board to keep
interest rates the same at its June FOMC meeting (which was the case), although
future hikes are still a possibility.
On the corporate bond front, new issuance, which was minimal as the new year
started, began to pick up during the second quarter, although aggregate levels
are still below forecast expectations. Investor appetite for investment-grade
corporate bonds was somewhat uninspired, given the intent of Federal Reserve
Board policy and the lack of liquidity being provided by the market makers. As a
result, yield spreads trended toward historical highs during this period,
despite a strong business environment and
6
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 2000 (Continued)
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record levels of corporate profitability. Toward the end of the six-month
period, and led by the compression in swap spreads (that is, the difference in
basis points at which an AA-rated bank could issue debt relative to a similar
maturity Treasury security), corporate bond spreads narrowed as investors
perceived the Federal Reserve Board may be nearing the end of the push to raise
short-term interest rates. This, combined with the very attractive absolute
yields, has encouraged some new money to flow into this sector, a trend we
believe may to continue as we move into the second half of the year. As a
result, yield spreads on corporate securities have narrowed.
With respect to investment strategy, we remained committed to the bigger, more
liquid issues and emphasized higher coupon bonds. As part of our liquidity
strategy, we attempted to consolidate industry holdings into the benchmark
issues. Although this came at modest yield concessions, this strategy seems to
have worked as the smaller, less liquid transactions significantly
underperformed global transactions. During the first quarter of 2000, our
investment strategy shifted to incorporate a more barbelled approach rather than
a bulleted approach, given prevailing Federal Reserve Board monetary policy and
the technical factors influencing the longer end of the curve. We reduced the
Portfolio's exposure in the two-year -- five-year sector in favor of short-term
floating rate securities and cash. Additionally, we increased the Portfolio's
exposure at the longer end of the curve, although corporate exposure was focused
in the ten-year sector, with 30-year exposure emphasizing Treasury securities
and agency issues with a spread to US Treasury issues. With regard to our
corporate strategy, we believed the ten-year sector offered greater relative
value given the flatness of the ten-year -- 30-year corporate credit curve.
However, by the middle of the second quarter, we shifted our investment strategy
to incorporate a more bulleted portfolio approach. We recommitted some assets
out cash and the 30-year sector and back into the two-year -- ten-year sector of
the yield curve.
With respect to security specific issues, the Portfolio held an overweighted
position in cable/media companies, electric utilities, energy-related
industries, real estate investment trusts and Yankee and Corporate bonds. During
the later part of the period, we began to reduce the Portfolio's holdings in
retailers, finance companies and airlines, the last as a result of rising fuel
costs. We looked to add to positions in food processors, life insurers,
energy-related industries, money center banks and benchmark telecommunication
and technology companies. We continue to underweight the Portfolio in
independent finance companies (personal bankruptcies are on the rise), paper and
forest product producers (unfavorable outlook) and auto parts makers. With
respect to auto parts makers, we are specifically concerned about the
implications that a consolidation of that industry would have on bond prices.
Going forward, we intend to continue to look to reverse an overweighting we had
in the overall finance sector (banks, brokers and finance companies), with
reallocation back to the industrial sector. Spreads for industrials have become
very attractive, and we want to be in a position to benefit from any cyclical
upswing that may occur in that sector.
MONEY RESERVE PORTFOLIO
For the six-month period ended June 30, 2000, Money Reserve Portfolio's net
annualized yield was 5.89%. The Portfolio's 7-day yield as of June 30, 2000 was
6.27%. The average portfolio maturity was 61 days at June 30, 2000, compared to
61 days at December 31, 1999.
During the first quarter of 2000, economic growth remained strong, resulting in
two additional 25 basis point (0.25%) interest rate increases that were
implemented in February and March. At that time, the Treasury also announced
anticipated changes to the auction schedule. The Federal budget surplus has made
it necessary to reduce the number of securities sold by the Treasury, therefore
the changes will include reduced auctions, reduced auction sizes and a buy-back
program (the Treasury intends to buy back old off-the-run less liquid issues in
order to keep current issues liquid). The announcement caused unintended results
as the yield curve inverted dramatically as investors rushed to buy longer-term
issues.
7
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MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 2000 (Continued)
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At this time, it is unclear when this technical inversion could be unwound, as
it seems likely that further short-term interest rate increases will be
forthcoming as long as the current economic momentum continues. Although
Treasury yields moved sharply lower as a result of this reduction of supply,
other fixed-income asset classes did not participate to the fullest extent. In
addition, the business practices of Government-sponsored agencies were placed
under scrutiny by Congress, which pressured quality spreads across the yield
curve.
In early May, investors began to price in an additional 50 basis point move and
a greater probability of more increases later in the summer. New home sales grew
by an alarming 966,000 pace and the unemployment rate fell to 3.9%. Citing the
risk of accelerating inflation, the Federal Reserve Board tightened by 50 basis
points at its May meeting. As the Federal Reserve Board's bias toward tightening
continued, the US markets remained fixated on the next Federal Open Market
Committee meeting on June 28, 2000. At that meeting, the Federal Reserve Board
moved to keep monetary policy on hold, as was widely expected by investors.
However, the Federal Reserve Board's accompanying statement suggested that while
there were tentative signs of economic cooling, underlying price pressures were
accelerating. Therefore, the Federal Reserve Board believed that the risks
remain tilted toward conditions that could foster higher inflation.
During the six-month period ended June 30, 2000, we maintained a conservative
approach as a result of the rising interest rate environment. We adopted a
barbell strategy incorporating one-month and two-month commercial paper with
one-year bank certificates of deposit. We also looked to replace maturing
floating rate notes since we believe that they may continue to provide
protection for the Portfolio against rising interest rates.
The Portfolio's composition at the end of June and as of our last report to
shareholders is detailed below:
<TABLE>
<CAPTION>
6/30/00 12/31/99
----------------------------------------------------------------------------------
<S> <C> <C>
Bank Notes.................................................. 6.9% 10.7%
Certificate of Deposit...................................... 1.5 1.7
Certificate of Deposit -- Europe............................ 1.0 --
Certificate of Deposit -- Yankee............................ 4.3 2.9
Commercial Paper............................................ 47.3 36.8
Corporate Notes............................................. 1.0 4.2
Euro Medium-Term Notes...................................... -- 0.3
Funding Agreements.......................................... 4.2 3.9
Medium-Term Notes........................................... 18.9 27.4
Promissory Notes............................................ 1.9 1.8
Repurchase Agreements....................................... -- 1.8
US Government, Agency & Instrumentality Obligations --
Non-Discount.............................................. 12.4 8.1
Other Assets Less Liabilities............................... 0.6 0.4
----- -----
Total....................................................... 100.0% 100.0%
===== =====
</TABLE>
MULTIPLE STRATEGY PORTFOLIO
As of June 30, 2000, the Portfolio's asset allocation was: US stocks, 49% of net
assets; foreign stocks, 19%; US bonds, 30%; and cash reserves, 2%.
We increased the Portfolio's position in US bonds from 26% of net assets to 30%
during the first half of 2000. The appeal of US bonds seemed enhanced in an
environment of more aggressive tightening by the Federal Reserve Board and since
there was evidence of a beginning in the slowdown of US economic activity.
However, a significant decline in US interest rates could hinge on expectations
that
8
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 2000 (Continued)
--------------------------------------------------------------------------------
the Federal Reserve Board would reverse its restrictive monetary policy. Given
this outlook, the average duration of the Portfolio's US bond holdings is
currently maintained at a defensive average of 4.3 years.
Within the equity sector, we reduced the Portfolio's exposure to foreign issues
from 27% of net assets to 19% during the first half of 2000, with most of the
cutback taking place in June. At the same time, we expanded the Portfolio's
commitment to US equities from 42% of net assets to 49%. The most significant
reduction within the equity sector was in Japanese equities, which we believe
are sensitive to the domestic economy. Equities of this type could be vulnerable
to earning disappointments resulting from the sluggish pace of Japanese consumer
spending. The remaining Japanese equity positions remain hedged back into US
dollars since we expect the yen to weaken in coming months. We modestly
increased the Portfolio's commitment to Europe. Overall, we continue to allocate
substantial assets to "new economy" equities worldwide. Companies in
technology-oriented areas such as telecommunications equipment, computers, and
software and services be relatively immune to an economic slowdown of modest
proportions, in our view. Representation in old economy sectors was maintained
on a selective basis in order to maintain diversification consistent with the
Portfolio's objectives. Areas with significant representation included financial
services, consumer staples and health care.
NATURAL RESOURCES PORTFOLIO
For the six-month period ended June 30, 2000, Natural Resources Portfolio had a
total return of +19.16%.The Fund performed significantly better than the -3.48%
total return of the unmanaged Morgan Stanley Capital International Natural
Resource Index and the +13.34 return of Lipper Natural Resources Funds Average.
The Portfolio initially retreated in January after our investments in gas-
leveraged production companies faced selling pressures based on fears of falling
natural gas prices after the past winter's record warm temperatures. However,
the arrival of more seasonal winter weather in late January, combined with
declining domestic production, led to ending storage levels in line with normal
seasonal levels. This provided a catalyst for a strong recovery in our
investments in North American gas production companies. During the production
decline, we increased our holdings in natural gas exposed production companies,
as well as oil service and drilling companies exposed to natural gas activity in
North America. Our increased investments in these sectors at the expense of
investments in other basic industry stocks helped account for our improved total
return.
We continue to have a constructive outlook for stocks exposed to natural gas
exploration and production in North America. Average depletion rates in North
America have accelerated as many older gas basins have reached maturity.
Therefore, we have not seen an increase in natural gas availability despite
gas-directed drilling activity that is near the highest levels in over a decade.
This constraint on gas supply has confronted rising demand for gas to fuel
electrical generation facilities, and prices rose to over the $4.00 per million
cubic feet level. Given that season injections into storage basis are sharply
lagging year-earlier levels, prices could spike to yet higher levels on an
intermittent basis in the event that the upcoming winter heating season is
incrementally cooler than the recent string of record warm winters.
Also contributing to the Portfolio's improved performance was the strong oil
pricing environment brought about by the combination of improving world economic
growth and greater cohesion on production policies by the members of the
Organization of Petroleum Exporting Countries (OPEC). In February, we traveled
to the Middle East nations of Saudi Arabia, Qatar and Kuwait, meeting with the
Oil Ministers of Saudi Arabia and Qatar, as well as other senior energy
officials and oil company executives. The visit affirmed that relations among
OPEC members are the best they have been in years, and that OPEC members believe
that a higher price range for oil is justified. The rationale for a higher
sustainable range was based upon the smaller proportion that oil contributes to
Western World gross domestic product, as well as the high rate of taxation that
is levied on oil consumption in European nations. Therefore, the potential for
higher oil prices leading to an acceleration of overall inflation from the
pass-through of higher energy costs may have been reduced. The potential for
9
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Semi-Annual Report
June 30, 2000 (Concluded)
--------------------------------------------------------------------------------
economic stagnation resulting from inflation fighting efforts appears to be a
key variable that OPEC wants to avoid. In addition, both the oil ministers of
Saudi Arabia and Qatar stated that they would be uncomfortable with $30 per
barrel of oil, which could lead to fuel substitution and conservation. The
recent announcements by Saudi Arabia to increase production appear to be
consistent with this earlier viewpoint, and do not alter the investment case
upon which our focus on energy stocks has been made. Given the recent OPEC
actions, we believe that the potential for oil prices to be sustained in the low
$20 per barrel range is highly probable. This could lead to a very positive
fundamental environment for oil and oil service companies.
As mentioned previously, we continued to add to our holdings in production
companies exposed to North American natural gas production. Many of our new
holdings are in Canada, where new export pipeline capacity has allowed Canadian
gas prices to achieve parity to gas produced in the lower 48 United States, less
transportation differentials. In addition, we have purchased new holdings in
land drilling companies based in the United States and Canada. We have also
added oil service holdings that benefit from rising activity in deep-water
drilling and production. The backlog of projects in West Africa, Brazil and
North America continues to build, which could lead to strong earnings as
available capacity in these areas is absorbed.
The funds for our increased energy holdings were derived from sales in our
holdings of basic industry companies. This proved to be a positive move for
Portfolio performance, as first half performance in these sectors was
universally negative. Concerns over rising interest rates contributed to the
lagging investment performance of these sectors during the first half of 2000.
In addition, many basic material companies had earnings that were adversely
affected by rising energy feedstock costs. Despite apparent inexpensive
valuations in selected basic materials, we continue to believe that energy
fundamentals are more concrete, and thereby offer more compelling potential
investment returns. Therefore, we intend to maintain our focus on natural gas
and service stocks as we enter the upcoming 2000-2001 winter heating season.
While the share prices of energy stocks have rallied sharply off of near
historically low valuation levels, we continue to believe that significant
appreciation potential remains in our holdings. Earnings comparisons could be
strong off last year's poor oil price environment for our oil and gas production
companies, which could also fund increased spending in our holdings in the
equities of oil service stocks. Absent the onset of a recession, we believe that
fundamentals could continue to be robust for the foreseeable future. Energy
investment returns have exceeded returns of the Standard & Poor's 500, and we
believe that relatively inexpensive valuation levels can result in continued
positive returns over the near-term investment horizon. We look to emphasize the
role that investments in energy and related resources can play in hedging the
effects of rising transportation and home-heating costs.
IN CONCLUSION
We appreciate your investment in Merrill Lynch Series Fund, Inc., and we look
forward to sharing our investment outlook and strategies with you in our
December annual report to shareholders.
Sincerely,
/s/ Terry K. Glenn
Terry K. Glenn
PRESIDENT
August 17, 2000
10
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Performance Information
June 30, 2000
--------------------------------------------------------------------------------
RECENT PERFORMANCE RESULTS*
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
6 MONTH 12 MONTH
TOTAL TOTAL
AS OF JUNE 30, 2000 RETURN RETURN
<S> <C> <C>
----------------------------------------------------------------------------
BALANCED PORTFOLIO + 2.64% + 6.56%
----------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO + 3.00 +19.68
----------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO - 0.80 +14.68
----------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO + 6.87 +29.16
----------------------------------------------------------------------------
HIGH YIELD PORTFOLIO - 0.85 + 1.98
----------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 4.12 + 4.63
----------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO + 2.00 + 2.31
----------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO + 2.32 +14.15
----------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO +19.16 +21.24
----------------------------------------------------------------------------
</TABLE>
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS*
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FIVE YEARS TEN YEARS
YEAR ENDED ENDED ENDED
6/30/00 6/30/00 6/30/00
<S> <C> <C> <C>
-----------------------------------------------------------------------------------------
BALANCED PORTFOLIO + 6.56% +11.87% +10.71%
-----------------------------------------------------------------------------------------
CAPITAL STOCK PORTFOLIO +19.68 +19.67 +14.07
-----------------------------------------------------------------------------------------
GLOBAL STRATEGY PORTFOLIO +14.68 +12.20 +10.68
-----------------------------------------------------------------------------------------
GROWTH STOCK PORTFOLIO +29.16 +30.75 +19.26
-----------------------------------------------------------------------------------------
HIGH YIELD PORTFOLIO + 1.98 + 5.40 + 9.52
-----------------------------------------------------------------------------------------
INTERMEDIATE GOVERNMENT BOND PORTFOLIO + 4.63 + 5.77 + 7.54
-----------------------------------------------------------------------------------------
LONG TERM CORPORATE BOND PORTFOLIO + 2.31 + 5.32 + 7.62
-----------------------------------------------------------------------------------------
MULTIPLE STRATEGY PORTFOLIO +14.15 +14.75 +12.27
-----------------------------------------------------------------------------------------
NATURAL RESOURCES PORTFOLIO +21.24 + 6.58 + 5.43
-----------------------------------------------------------------------------------------
</TABLE>
* Total investment returns are based on changes in net asset value for the
periods shown, and assume reinvestment of all dividends and capital gains
distributions at net asset value on the ex-dividend/payable date.
Insurance-related fees and expenses are not reflected in these returns.
Past results shown should not be considered a representation of future
performance.
11
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of June 30, 2000 (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE PERCENT OF
INDUSTRIES AMOUNT BONDS & NOTES VALUE NET ASSETS
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FINANCIAL SERVICES $2,000,000 General Electric Capital Corp., 8.75% due
5/21/2007.......................................... $ 2,169,720 1.9%
-------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY 659,200 Federal Home Loan Mortgage Corporation Participation
OBLIGATIONS Certificates-Gold Program, 7.50% due 6/01/2007++... 660,558 0.6
Federal National Mortgage Association:
4,770,000 5.625% due 3/15/2001............................ 4,729,741 4.1
1,550,000 6.375% due 6/15/2009............................ 1,473,461 1.3
US Treasury Bonds:
2,450,000 6.25% due 8/15/2023............................. 2,469,894 2.2
300,000 5.25% due 11/15/2028............................ 265,641 0.2
8,400,000 6.125% due 8/15/2029............................ 8,484,000 7.4
US Treasury Notes:
3,800,000 5% due 4/30/2001................................ 3,754,856 3.3
9,150,000 5.75% due 6/30/2001............................. 9,084,239 7.9
8,000,000 5.50% due 7/31/2001............................. 7,918,720 6.9
4,100,000 5.50% due 8/31/2001............................. 4,054,531 3.5
------------ -----
42,895,641 37.4
-------------------------------------------------------------------------------------------------------------------------
TOTAL BONDS & NOTES (COST-$44,879,116) 45,065,361 39.3
-------------------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES
HELD COMMON STOCKS
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
AEROSPACE & DEFENSE 7,000 The Boeing Company.................................. 292,687 0.3
9,929 United Technologies Corporation..................... 584,570 0.5
------------ -----
877,257 0.8
-------------------------------------------------------------------------------------------------------------------------
APPAREL 7,400 The Gap, Inc........................................ 231,250 0.2
-------------------------------------------------------------------------------------------------------------------------
APPLICATION DEVELOPMENT 2,900 +Siebel Systems, Inc................................ 474,331 0.4
SOFTWARE
-------------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE PRODUCTS 1,400 +General Motors Corporation (Class H)............... 122,850 0.1
-------------------------------------------------------------------------------------------------------------------------
BANKING 7,750 Bank of America Corporation......................... 333,250 0.3
12,000 The Bank of New York Company, Inc................... 558,000 0.5
6,600 The Chase Manhattan Corporation..................... 304,012 0.3
------------ -----
1,195,262 1.1
-------------------------------------------------------------------------------------------------------------------------
BEVERAGES 22,450 The Coca-Cola Company............................... 1,289,472 1.1
29,700 PepsiCo, Inc........................................ 1,319,794 1.1
------------ -----
2,609,266 2.2
-------------------------------------------------------------------------------------------------------------------------
BROADCASTING-CABLE 42,400 +AT&T Corp.-Liberty Media Group (Class A)........... 1,028,200 0.9
-------------------------------------------------------------------------------------------------------------------------
BROADCASTING-MEDIA 1,600 +Univision Communications Inc. (Class A)............ 165,600 0.1
-------------------------------------------------------------------------------------------------------------------------
BROADCASTING & 9,800 +TV Guide, Inc. (Class A)........................... 335,650 0.3
PUBLISHING
-------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS 4,700 +American Tower Corporation (Class A)............... 195,931 0.2
-------------------------------------------------------------------------------------------------------------------------
BUSINESS SERVICES 9,700 +Oracle Corporation................................. 814,800 0.7
-------------------------------------------------------------------------------------------------------------------------
CABLE 27,500 +Charter Communications, Inc. (Class A)............. 452,031 0.4
-------------------------------------------------------------------------------------------------------------------------
CAPITAL EQUIPMENT 3,432 +Agilent Technologies, Inc.......................... 253,110 0.2
9,000 Hewlett-Packard Company............................. 1,123,875 1.0
------------ -----
1,376,985 1.2
-------------------------------------------------------------------------------------------------------------------------
CAPITAL GOODS 2,300 Minnesota Mining and Manufacturing Company (3M)..... 189,750 0.2
-------------------------------------------------------------------------------------------------------------------------
CELLULAR TELEPHONES 4,400 +Dobson Communications Corporation (Class A)........ 84,700 0.1
-------------------------------------------------------------------------------------------------------------------------
CHEMICALS 17,400 Rohm and Haas Company............................... 600,300 0.5
-------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES 12,650 +Convergys Corporation.............................. 656,219 0.6
-------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS 6,000 +Pegasus Communications Corporation................. 293,625 0.3
-------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS 22,500 Lucent Technologies................................. 1,333,125 1.2
EQUIPMENT 15,625 +WorldCom, Inc...................................... 716,797 0.6
------------ -----
2,049,922 1.8
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
12
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD COMMON STOCKS VALUE NET ASSETS
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMPUTER SERVICES 16,000 +America Online, Inc................................ $ 844,000 0.7%
35,752 +Cisco Systems, Inc................................. 2,272,498 2.0
8,500 Electronic Data Systems Corporation................. 350,625 0.3
500 +StorageNetworks, Inc............................... 45,125 0.0
------------ -----
3,512,248 3.0
-------------------------------------------------------------------------------------------------------------------------
COMPUTER TECHNOLOGY 8,900 +Solectron Corporation.............................. 372,688 0.3
-------------------------------------------------------------------------------------------------------------------------
COMPUTERS 8,400 Compaq Computer Corporation......................... 214,725 0.2
12,400 +Dell Computer Corporation.......................... 611,475 0.5
7,600 +EMC Corporation.................................... 584,725 0.5
9,245 International Business Machines Corporation......... 1,012,905 0.9
6,850 RadioShack Corporation.............................. 324,519 0.3
4,700 +Sun Microsystems, Inc.............................. 427,406 0.4
2,500 Symbol Technologies, Inc............................ 135,000 0.1
------------ -----
3,310,755 2.9
-------------------------------------------------------------------------------------------------------------------------
CONGLOMERATES 14,400 Honeywell International Inc......................... 485,100 0.4
-------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED COMPANIES 3,500 +Conexant Systems, Inc.............................. 169,969 0.1
3,000 Corning Incorporated................................ 809,625 0.7
2,600 Textron, Inc........................................ 141,213 0.1
------------ -----
1,120,807 0.9
-------------------------------------------------------------------------------------------------------------------------
ELECTRIC & GAS 31,600 +Calpine Corporation................................ 2,077,700 1.8
-------------------------------------------------------------------------------------------------------------------------
ELECTRICAL 400 +Capstone Turbine Corporation....................... 18,075 0.0
10,100 DPL Inc............................................. 221,569 0.2
------------ -----
239,644 0.2
-------------------------------------------------------------------------------------------------------------------------
ELECTRICAL & ELECTRONICS 9,600 +The AES Corporation................................ 438,000 0.4
-------------------------------------------------------------------------------------------------------------------------
ELECTRONIC COMPONENTS 44,100 General Electric Company............................ 2,337,300 2.0
25,950 Intel Corporation................................... 3,467,569 3.0
3,550 +LSI Logic Corporation.............................. 192,144 0.2
21,000 Motorola, Inc....................................... 610,313 0.5
------------ -----
6,607,326 5.7
-------------------------------------------------------------------------------------------------------------------------
ELECTRONICS 1,800 +Broadcom Corporation (Class A)..................... 394,087 0.3
3,100 +Gemstar International Group Limited................ 190,456 0.2
10,800 Texas Instruments Incorporated...................... 741,825 0.6
------------ -----
1,326,368 1.1
-------------------------------------------------------------------------------------------------------------------------
FINANCE 7,300 Federal Home Loan Mortgage Association.............. 295,650 0.3
-------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 7,800 Associates First Capital Corporation (Class A)...... 174,037 0.1
8,100 The Charles Schwab Corporation...................... 272,363 0.2
23,100 Citigroup Inc....................................... 1,391,775 1.2
16,200 Wells Fargo Company................................. 627,750 0.5
------------ -----
2,465,925 2.0
-------------------------------------------------------------------------------------------------------------------------
HEALTHCARE- 13,700 HCA-The Healthcare Corporation...................... 416,137 0.4
PRODUCTS & SERVICES
-------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 18,400 Colgate-Palmolive Company........................... 1,101,700 1.0
2,500 The Procter & Gamble Company........................ 143,125 0.1
------------ -----
1,244,825 1.1
-------------------------------------------------------------------------------------------------------------------------
INSURANCE 9,400 AXA Financial, Inc.................................. 319,600 0.3
10,000 American International Group, Inc................... 1,175,000 1.0
2,900 ITT Industries, Inc................................. 88,088 0.1
------------ -----
1,582,688 1.4
-------------------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE 3,200 +IntraNet Solutions, Inc............................ 122,800 0.1
1,505 +VeriSign, Inc...................................... 265,350 0.2
------------ -----
388,150 0.3
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
13
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD COMMON STOCKS VALUE NET ASSETS
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INTERNETWORKING 200 +Alamosa PCS Holdings, Inc.......................... $ 4,175 0.0%
2,000 +InfoSpace.com, Inc................................. 110,500 0.1
1,700 +Inktomi Corporation................................ 201,025 0.2
------------ -----
315,700 0.3
-------------------------------------------------------------------------------------------------------------------------
LASER SYSTEMS & 13,650 +JDS Uniphase Corporation........................... 1,635,441 1.4
COMPONENTS
-------------------------------------------------------------------------------------------------------------------------
MANUFACTURING 11,800 Tyco International Ltd.............................. 559,025 0.5
-------------------------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 7,750 Johnson & Johnson................................... 789,531 0.7
-------------------------------------------------------------------------------------------------------------------------
METAL 12,200 Alcoa Inc........................................... 353,800 0.3
-------------------------------------------------------------------------------------------------------------------------
MULTI-MEDIA 3,200 Time Warner Inc..................................... 243,200 0.2
-------------------------------------------------------------------------------------------------------------------------
NATURAL GAS 21,200 Enron Corp.......................................... 1,367,400 1.2
-------------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES 13,700 Burlington Resources Inc............................ 524,025 0.5
-------------------------------------------------------------------------------------------------------------------------
NETWORKING PRODUCTS 1,200 +ONI Systems Corp................................... 140,625 0.1
-------------------------------------------------------------------------------------------------------------------------
OIL & GAS PRODUCERS 3,700 +Nabors Industries, Inc............................. 153,781 0.1
-------------------------------------------------------------------------------------------------------------------------
OIL-INTEGRATED 19,003 Exxon Mobil Corporation............................. 1,491,735 1.3
-------------------------------------------------------------------------------------------------------------------------
OIL SERVICES 5,620 Schlumberger Limited................................ 419,393 0.4
-------------------------------------------------------------------------------------------------------------------------
PETROLEUM 7,700 Unocal Corporation.................................. 255,063 0.2
-------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 12,920 American Home Products Corporation.................. 759,050 0.7
13,700 Cardinal Health, Inc................................ 1,013,800 0.9
3,800 Eli Lilly and Company............................... 379,525 0.3
14,800 Merck & Co., Inc.................................... 1,134,050 1.0
28,200 Pfizer Inc.......................................... 1,353,600 1.2
4,800 Schering-Plough Corporation......................... 242,400 0.2
------------ -----
4,882,425 4.3
-------------------------------------------------------------------------------------------------------------------------
RADIO & TELEVISION 16,000 +AMFM Inc........................................... 1,104,000 1.0
-------------------------------------------------------------------------------------------------------------------------
RETAIL 12,800 Lowe's Companies, Inc............................... 525,600 0.5
10,300 +Safeway Inc........................................ 464,788 0.4
12,450 Wal-Mart Stores, Inc................................ 717,431 0.6
------------ -----
1,707,819 1.5
-------------------------------------------------------------------------------------------------------------------------
SCIENTIFIC EQUIPMENT 6,400 Millipore Corporation............................... 482,400 0.4
-------------------------------------------------------------------------------------------------------------------------
SOFTWARE 8,400 +Amdocs Limited..................................... 644,700 0.6
18,000 +Microsoft Corporation.............................. 1,438,875 1.3
8,200 +Network Associates, Inc............................ 167,075 0.1
3,000 +RSA Security Inc................................... 208,500 0.2
2,200 +VERITAS Software Corporation....................... 248,600 0.2
2,800 +Yahoo! Inc......................................... 346,850 0.3
------------ -----
3,054,600 2.7
-------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 10,500 +AT&T Wireless Group................................ 292,687 0.3
7,200 +Adelphia Business Solutions, Inc................... 166,500 0.1
23,200 GTE Corporation..................................... 1,444,200 1.3
2,100 +Level 3 Communications, Inc........................ 184,669 0.2
17,000 +McLeodUSA Incorporated (Class A)................... 351,687 0.3
3,600 +Qwest Communications International Inc............. 178,875 0.2
3,100 Sprint Corp. (FON Group)............................ 158,100 0.1
------------ -----
2,776,718 2.5
-------------------------------------------------------------------------------------------------------------------------
UTILITIES-COMMUNICATION 20,000 SBC Communications Inc.............................. 865,000 0.8
-------------------------------------------------------------------------------------------------------------------------
UTILITIES-ELECTRIC 6,800 Constellation Energy Group.......................... 221,425 0.2
-------------------------------------------------------------------------------------------------------------------------
UTILITIES-GAS PIPELINE 4,800 Dynegy Inc. (Class A)............................... 327,900 0.3
-------------------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATIONS 400 +Telaxis Communications Corporation................. 12,475 0.0
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
14
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Balanced Portfolio
Schedule of Investments as of June 30, 2000 (Concluded) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD COMMON STOCKS VALUE NET ASSETS
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
WIRELESS 14,000 +NEXTEL Communications, Inc. (Class A).............. $ 856,625 0.7%
COMMUNICATIONS- 9,000 +Sprint Corp. (PCS Group)........................... 535,500 0.5
------------ -----
DOMESTIC PAGING & CELLULAR 1,392,125 1.2
-------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (COST-$51,628,278) 64,713,546 56.4
-------------------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SHORT-TERM SECURITIES
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMERCIAL PAPER* $4,378,000 General Motors Acceptance Corp., 7.13% due
7/03/2000.......................................... 4,375,399 3.8
-------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES (COST-$4,375,399) 4,375,399 3.8
-------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST-$100,882,793)............... 114,154,306 99.5
OTHER ASSETS LESS LIABILITIES....................... 584,510 0.5
------------ -----
NET ASSETS.......................................... $114,738,816 100.0%
============ =====
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commercial Paper is traded on a discount basis; the interest rate shown
reflects the discount rate paid at the time of purchase by the Portfolio.
+ Non-income producing security.
++ Subject to principal paydowns.
See Notes to Financial Statements.
15
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 2000 (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
COUNTRIES INDUSTRIES HELD COMMON STOCKS VALUE NET ASSETS
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
AUSTRALIA MULTIMEDIA 129,800 The News Corporation Limited
(Convertible Preferred) (ADR)(a)....... $ 6,165,500 1.4%
------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN AUSTRALIA 6,165,500 1.4
------------------------------------------------------------------------------------------------------------------
CANADA MACHINERY 67,300 +ATS Automation Tooling Systems, Inc.... 1,464,821 0.3
-----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 26,400 BCE Inc................................. 628,650 0.1
-----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 185,858 Nortel Networks Corporation............. 12,684,809 2.9
EQUIPMENT
------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN CANADA 14,778,280 3.3
------------------------------------------------------------------------------------------------------------------
FINLAND TELECOMMUNICATIONS 119,200 Nokia Oyj............................... 6,107,471 1.4
EQUIPMENT
------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN FINLAND 6,107,471 1.4
------------------------------------------------------------------------------------------------------------------
FRANCE SEMICONDUCTORS 89,100 STMicroelectronics NV (NY Registered
Shares)................................ 5,719,106 1.3
------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN FRANCE 5,719,106 1.3
------------------------------------------------------------------------------------------------------------------
HONG KONG ELECTRONICS 16,800 +Gemstar International Group Limited.... 1,032,150 0.2
------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN HONG KONG 1,032,150 0.2
------------------------------------------------------------------------------------------------------------------
JAPAN COMPUTERS 18,000 NEC Corporation......................... 566,514 0.1
-----------------------------------------------------------------------------------------------------
ELECTRONIC 31,000 Hitachi Ltd............................. 448,277 0.1
COMPONENTS 10,000 Kyocera Corporation..................... 1,700,298 0.4
40,000 Sony Corporation (ADR)(a)............... 3,772,500 0.9
------------ -----
5,921,075 1.4
-----------------------------------------------------------------------------------------------------
PHARMACEUTICALS 34,000 Yamanouchi Pharmaceutical Co., Ltd...... 1,860,593 0.4
------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN JAPAN 8,348,182 1.9
------------------------------------------------------------------------------------------------------------------
NETHERLANDS ELECTRONIC 71,100 +ASM Lithography Holding NV............. 3,068,404 0.7
COMPONENTS
------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THE NETHERLANDS 3,068,404 0.7
------------------------------------------------------------------------------------------------------------------
SINGAPORE ELECTRONIC 14,900 +Flextronics International Ltd.......... 1,023,444 0.2
COMPONENTS
------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SINGAPORE 1,023,444 0.2
------------------------------------------------------------------------------------------------------------------
SWEDEN TELECOMMUNICATIONS 16,900 +Telia AB............................... 159,925 0.0
-----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 195,400 Telefonaktiebolaget LM Ericsson AB
EQUIPMENT "B".................................... 3,887,504 0.9
------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SWEDEN 4,047,429 0.9
------------------------------------------------------------------------------------------------------------------
UNITED BUILDING & 152,000 Hanson PLC.............................. 1,074,627 0.2
KINGDOM CONSTRUCTION
-----------------------------------------------------------------------------------------------------
MANUFACTURING 231,000 Invensys PLC............................ 867,283 0.2
-----------------------------------------------------------------------------------------------------
OIL-INTEGRATED 108,000 BP Amoco PLC............................ 1,036,598 0.2
63,000 Shell Transport & Trading Company
(ADR)(a)............................... 3,146,063 0.7
------------ -----
4,182,661 0.9
-----------------------------------------------------------------------------------------------------
PHARMACEUTICALS 143,300 SmithKline Beecham PLC.................. 1,876,547 0.4
-----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 190,000 Vodafone AirTouch PLC................... 768,001 0.2
------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THE UNITED
KINGDOM................................. 8,769,119 1.9
------------------------------------------------------------------------------------------------------------------
UNITED AEROSPACE & DEFENSE 34,000 The Boeing Company...................... 1,421,625 0.3
STATES 49,393 United Technologies Corporation......... 2,908,013 0.7
------------ -----
4,329,638 1.0
-----------------------------------------------------------------------------------------------------
APPAREL 25,300 The Gap, Inc............................ 790,625 0.2
-----------------------------------------------------------------------------------------------------
APPLICATION 15,400 +Siebel Systems, Inc.................... 2,518,863 0.6
DEVELOPMENT
SOFTWARE
-----------------------------------------------------------------------------------------------------
AUTOMOTIVE 7,100 +General Motors Corporation (Class H)... 623,025 0.1
-----------------------------------------------------------------------------------------------------
</TABLE>
16
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
COUNTRIES INDUSTRIES HELD COMMON STOCKS VALUE NET ASSETS
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
UNITED BANKING 67,369 Bank of America Corporation............. $ 2,896,867 0.7%
STATES 91,750 The Bank of New York Company, Inc....... 4,266,375 1.0
(CONTINUED) 47,400 The Chase Manhattan Corporation......... 2,183,362 0.5
------------ -----
9,346,604 2.2
-----------------------------------------------------------------------------------------------------
BEVERAGES 105,050 The Coca-Cola Company................... 6,033,809 1.4
113,600 PepsiCo, Inc............................ 5,048,100 1.2
------------ -----
11,081,909 2.6
-----------------------------------------------------------------------------------------------------
BROADCASTING-CABLE 208,900 +AT&T Corp.-Liberty Media Group
(Class A).............................. 5,065,825 1.2
-----------------------------------------------------------------------------------------------------
BROADCASTING-MEDIA 9,000 +Univision Communications Inc.
(Class A).............................. 931,500 0.2
-----------------------------------------------------------------------------------------------------
BROADCASTING & 47,800 +TV Guide, Inc. (Class A)............... 1,637,150 0.4
PUBLISHING
-----------------------------------------------------------------------------------------------------
BUILDING PRODUCTS 17,200 +American Tower Corporation (Class A)... 717,025 0.2
-----------------------------------------------------------------------------------------------------
BUSINESS SERVICES 52,800 +Oracle Corporation..................... 4,435,200 1.0
-----------------------------------------------------------------------------------------------------
CABLE 101,100 +Charter Communications, Inc.
(Class A).............................. 1,661,831 0.4
-----------------------------------------------------------------------------------------------------
CAPITAL EQUIPMENT 17,773 +Agilent Technologies, Inc.............. 1,310,759 0.3
46,600 Hewlett-Packard Company................. 5,819,175 1.4
------------ -----
7,129,934 1.7
-----------------------------------------------------------------------------------------------------
CAPITAL GOODS 11,500 Minnesota Mining and Manufacturing
Company (3M)........................... 948,750 0.2
-----------------------------------------------------------------------------------------------------
CELLULAR TELEPHONES 26,200 +Dobson Communications Corporation
(Class A).............................. 504,350 0.1
-----------------------------------------------------------------------------------------------------
CHEMICALS 88,600 Rohm and Haas Company................... 3,056,700 0.7
-----------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES 60,500 +Convergys Corporation.................. 3,138,437 0.7
-----------------------------------------------------------------------------------------------------
COMMUNICATIONS 30,400 +Pegasus Communications Corporation..... 1,487,700 0.3
-----------------------------------------------------------------------------------------------------
COMMUNICATIONS 3,600 +CIENA Corporation...................... 599,850 0.1
EQUIPMENT 143,450 Lucent Technologies Inc................. 8,499,413 2.0
60,175 +WorldCom, Inc.......................... 2,760,528 0.6
------------ -----
11,859,791 2.7
-----------------------------------------------------------------------------------------------------
COMPUTER SERVICES 78,800 +America Online, Inc.................... 4,156,700 1.0
232,697 +Cisco Systems, Inc..................... 14,790,831 3.4
47,000 Electronic Data Systems Corporation..... 1,938,750 0.5
3,000 +StorageNetworks, Inc................... 270,750 0.1
------------ -----
21,157,031 5.0
-----------------------------------------------------------------------------------------------------
COMPUTER TECHNOLOGY 48,100 +Solectron Corporation.................. 2,014,188 0.5
-----------------------------------------------------------------------------------------------------
COMPUTERS 44,600 Compaq Computer Corporation............. 1,140,087 0.3
80,600 +Dell Computer Corporation.............. 3,974,587 0.9
76,000 +EMC Corporation........................ 5,847,250 1.4
46,660 International Business Machines
Corporation............................ 5,112,186 1.2
33,750 RadioShack Corporation.................. 1,598,906 0.4
68,980 +Sun Microsystems, Inc.................. 6,272,869 1.5
13,000 Symbol Technologies, Inc................ 702,000 0.2
------------ -----
24,647,885 5.9
-----------------------------------------------------------------------------------------------------
CONGLOMERATES 47,000 Honeywell International Inc............. 1,583,312 0.4
-----------------------------------------------------------------------------------------------------
DIVERSIFIED 18,700 +Conexant Systems, Inc.................. 908,119 0.2
COMPANIES 12,000 Corning Incorporated.................... 3,238,500 0.8
13,500 Textron, Inc............................ 733,219 0.2
------------ -----
4,879,838 1.2
-----------------------------------------------------------------------------------------------------
ELECTRIC & GAS 112,400 +Calpine Corporation.................... 7,390,300 1.7
-----------------------------------------------------------------------------------------------------
ELECTRICAL 2,200 +Capstone Turbine Corporation........... 99,412 0.0
51,400 DPL Inc................................. 1,127,587 0.3
------------ -----
1,226,999 0.3
-----------------------------------------------------------------------------------------------------
ELECTRICAL & 25,400 +The AES Corporation.................... 1,158,875 0.3
ELECTRONICS
-----------------------------------------------------------------------------------------------------
</TABLE>
17
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
COUNTRIES INDUSTRIES HELD COMMON STOCKS VALUE NET ASSETS
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
UNITED ELECTRONIC 223,400 General Electric Company................ $ 11,840,200 2.8%
STATES COMPONENTS 134,750 Intel Corporation....................... 18,005,969 4.2
(CONTINUED) 16,900 +LSI Logic Corporation.................. 914,713 0.2
102,900 Motorola, Inc........................... 2,990,531 0.7
------------ -----
33,751,413 7.9
-----------------------------------------------------------------------------------------------------
ELECTRONICS 5,300 +Analog Devices, Inc.................... 402,800 0.1
11,100 +Broadcom Corporation (Class A)......... 2,430,206 0.6
54,350 Texas Instruments Incorporated.......... 3,733,166 0.9
------------ -----
6,566,172 1.6
-----------------------------------------------------------------------------------------------------
FIBER OPTICS 1,200 +Exfo Electro-Optical Engineering
Inc.................................... 52,650 0.0
-----------------------------------------------------------------------------------------------------
FINANCE 35,000 Federal Home Loan Mortgage
Association............................ 1,417,500 0.3
-----------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 46,500 Associates First Capital Corporation
(Class A).............................. 1,037,531 0.2
39,000 The Charles Schwab Corporation.......... 1,311,375 0.3
134,000 Citigroup Inc........................... 8,073,500 1.9
114,100 Wells Fargo Company..................... 4,421,375 1.0
------------ -----
14,843,781 3.4
-----------------------------------------------------------------------------------------------------
HEALTHCARE- 49,800 HCA-The Healthcare Corporation.......... 1,512,675 0.4
PRODUCTS & SERVICES
-----------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 95,400 Colgate-Palmolive Company............... 5,712,075 1.3
13,000 The Procter & Gamble Company............ 744,250 0.2
------------ -----
6,456,325 1.5
-----------------------------------------------------------------------------------------------------
INSURANCE 42,600 AXA Financial, Inc...................... 1,448,400 0.3
56,850 American International Group, Inc....... 6,679,875 1.6
15,600 ITT Industries, Inc..................... 473,850 0.1
------------ -----
8,602,125 2.0
-----------------------------------------------------------------------------------------------------
INTERNET SOFTWARE 8,800 +Ariba, Inc............................. 862,400 0.2
15,700 +IntraNet Solutions, Inc................ 602,487 0.1
9,050 +VeriSign, Inc.......................... 1,595,628 0.4
------------ -----
3,060,515 0.7
-----------------------------------------------------------------------------------------------------
INTERNETWORKING 1,200 +Alamosa PCS Holdings, Inc.............. 25,050 0.0
10,800 +InfoSpace.com, Inc..................... 596,700 0.1
9,400 +Inktomi Corporation.................... 1,111,550 0.3
------------ -----
1,733,300 0.4
-----------------------------------------------------------------------------------------------------
LASER SYSTEMS & 83,600 +JDS Uniphase Corporation............... 10,016,325 2.3
COMPONENTS
-----------------------------------------------------------------------------------------------------
MANUFACTURING 91,800 Tyco International Ltd.................. 4,349,025 1.0
-----------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 20,000 +Boston Scientific Corporation.......... 438,750 0.1
27,900 Johnson & Johnson....................... 2,842,312 0.7
------------ -----
3,281,062 0.8
-----------------------------------------------------------------------------------------------------
METALS 73,200 Alcoa Inc............................... 2,122,800 0.5
-----------------------------------------------------------------------------------------------------
MULTI-MEDIA 15,600 Time Warner Inc......................... 1,185,600 0.3
-----------------------------------------------------------------------------------------------------
NATURAL GAS 117,900 Enron Corp.............................. 7,604,550 1.8
-----------------------------------------------------------------------------------------------------
NATURAL RESOURCES 96,400 Burlington Resources Inc. .............. 3,687,300 0.9
-----------------------------------------------------------------------------------------------------
NETWORKING PRODUCTS 7,500 +ONI Systems Corp. ..................... 878,906 0.2
-----------------------------------------------------------------------------------------------------
OIL & GAS PRODUCERS 19,000 +Nabors Industries, Inc. ............... 789,688 0.2
-----------------------------------------------------------------------------------------------------
OIL-INTEGRATED 110,411 Exxon Mobil Corporation................. 8,667,263 2.0
-----------------------------------------------------------------------------------------------------
OIL SERVICES 28,800 Schlumberger Limited.................... 2,149,200 0.5
-----------------------------------------------------------------------------------------------------
PETROLEUM 32,100 Unocal Corporation...................... 1,063,313 0.2
-----------------------------------------------------------------------------------------------------
</TABLE>
18
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
COUNTRIES INDUSTRIES HELD COMMON STOCKS VALUE NET ASSETS
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
UNITED PHARMACEUTICALS 63,800 American Home Products Corporation...... $ 3,748,250 0.9%
STATES 50,200 Cardinal Health, Inc.................... 3,714,800 0.9
(CONCLUDED) 20,400 Eli Lilly and Company................... 2,037,450 0.5
86,700 Merck & Co., Inc........................ 6,643,388 1.5
143,550 Pfizer Inc.............................. 6,890,400 1.6
24,800 Schering-Plough Corporation............. 1,252,400 0.3
------------ -----
24,286,688 5.7
-----------------------------------------------------------------------------------------------------
RADIO & TELEVISION 99,200 +AMFM Inc............................... 6,844,800 1.6
-----------------------------------------------------------------------------------------------------
RETAIL 62,500 Lowe's Companies, Inc................... 2,566,406 0.6
50,300 +Safeway Inc............................ 2,269,788 0.5
64,400 Wal-Mart Stores, Inc.................... 3,711,050 0.9
------------ -----
8,547,244 2.0
-----------------------------------------------------------------------------------------------------
SCIENTIFIC 24,350 Millipore Corporation................... 1,835,381 0.4
EQUIPMENT
-----------------------------------------------------------------------------------------------------
SOFTWARE 45,900 +Amdocs Limited......................... 3,522,825 0.8
3,300 +Macromedia, Inc........................ 318,863 0.1
84,050 +Microsoft Corporation.................. 6,718,747 1.6
44,700 +Network Associates, Inc................ 910,763 0.2
13,400 +RSA Security Inc....................... 931,300 0.2
17,600 +VERITAS Software Corporation........... 1,988,800 0.5
13,600 +Wind River Systems, Inc................ 515,100 0.1
14,800 +Yahoo! Inc............................. 1,833,350 0.4
------------ -----
16,739,748 3.9
-----------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 65,400 +AT&T Wireless Group.................... 1,823,025 0.4
37,700 +Adelphia Business Solutions, Inc....... 871,812 0.2
104,200 GTE Corporation......................... 6,486,450 1.5
11,200 +Level 3 Communications, Inc............ 984,900 0.2
89,000 +McLeodUSA Incorporated (Class A)....... 1,841,188 0.4
18,500 +Qwest Communications International
Inc.................................... 919,219 0.2
16,000 Sprint Corp. (FON Group)................ 816,000 0.2
------------ -----
13,742,594 3.1
-----------------------------------------------------------------------------------------------------
UTILITIES- 105,750 SBC Communications Inc.................. 4,573,688 1.1
COMMUNICATION
-----------------------------------------------------------------------------------------------------
UTILITIES-ELECTRIC 34,600 Constellation Energy Group.............. 1,126,662 0.3
-----------------------------------------------------------------------------------------------------
UTILITIES-GAS 22,500 Dynegy Inc. (Class A)................... 1,537,031 0.4
PIPELINE
-----------------------------------------------------------------------------------------------------
WIRELESS 2,500 +Telaxis Communications Corporation..... 77,969 0.0
COMMUNICATIONS
-----------------------------------------------------------------------------------------------------
WIRELESS 59,200 +Nextel Communications, Inc.
(Class A).............................. 3,622,300 0.8
COMMUNICATIONS- 49,000 +Sprint Corp. (PCS Group)............... 2,915,500 0.7
DOMESTIC PAGING &
------------ -----
CELLULAR 6,537,800 1.5
------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THE UNITED STATES 344,964,378 80.7
------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN COMMON STOCKS
(COST-$312,066,213) 404,023,463 93.9
------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT SHORT-TERM SECURITIES
<S> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER* $12,146,000 General Motors Acceptance Corp., 7.13%
due 7/03/2000.......................... 12,138,783 2.8
-----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN COMMERCIAL PAPER 12,138,783 2.8
-----------------------------------------------------------------------------------------------------------------
</TABLE>
19
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Capital Stock Portfolio
Schedule of Investments as of June 30, 2000 (Concluded) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE PERCENT OF
AMOUNT SHORT-TERM SECURITIES VALUE NET ASSETS
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
US GOVERNMENT Federal Home Loan Mortgage Corporation:
AGENCY OBLIGATIONS* $ 5,394,000 6.38% due 7/05/2000................. $ 5,389,220 1.3%
5,000,000 6.44% due 7/11/2000................. 4,990,161 1.2
------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN US GOVERNMENT
AGENCY OBLIGATIONS 10,379,381 2.5
------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SHORT-TERM
SECURITIES
(COST-$22,518,164) 22,518,164 5.3
------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST-$334,584,377)... 426,541,627 99.2
UNREALIZED DEPRECIATION ON FORWARD
FOREIGN EXCHANGE CONTRACTS++........... (1,523) 0.0
OTHER ASSETS LESS LIABILITIES........... 3,578,450 0.8
------------ -----
NET ASSETS.............................. $430,118,554 100.0%
============ =====
------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) American Depositary Receipts (ADR).
* Commercial Paper and certain US Government Agency Obligations are traded on
a discount basis; the interest rates shown reflect the discount rates paid
at the time of purchase by the Portfolio.
+ Non-income producing security.
++ Forward foreign exchange contracts as of June 30, 2000 were as follows:
<TABLE>
<S> <C> <C>
---------------------------------------------------------
UNREALIZED
APPRECIATION
FOREIGN CURRENCY SOLD EXPIRATION DATE (DEPRECIATION)
---------------------------------------------------------
A$ 9,200,000 July 2000 $11,408
[EURO] 3,600,000 August 2000 (9,558)
L 935,000 August 2000 42
Y 940,000,000 July 2000 (3,415)
---------------------------------------------------------
TOTAL UNREALIZED DEPRECIATION ON FORWARD
FOREIGN EXCHANGE CONTRACTS--NET (US$
COMMITMENT--$19,294,981) $(1,523)
=======
---------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 2000 (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
COUNTRIES INDUSTRIES HELD COMMON STOCKS VALUE NET ASSETS
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
AUSTRALIA MEDIA- 20,500 The News Corporation Limited
COMMUNICATIONS (Convertible Preferred) (ADR)*......... $ 973,750 0.4%
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN AUSTRALIA 973,750 0.4
----------------------------------------------------------------------------------------------------------------
AUSTRIA PAPER & FOREST 7,200 Mayr-Melnhof Karton AG.................. 341,990 0.1
PRODUCTS
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN AUSTRIA 341,990 0.1
----------------------------------------------------------------------------------------------------------------
BRAZIL OIL-INTEGRATED 33,200 Petroleo Brasileiro SA.................. 975,020 0.4
---------------------------------------------------------------------------------------------------
PAPER & FOREST 13,300 Aracruz Celulose SA (ADR)*.............. 256,856 0.1
PRODUCTS
---------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 45,000 Embratel Participacoes SA (ADR)*........ 1,063,125 0.5
538 Tele Norte Leste Participacoes SA
(ADR)*................................. 12,710 0.0
----------- ------
1,075,835 0.5
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN BRAZIL 2,307,711 1.0
----------------------------------------------------------------------------------------------------------------
CANADA COMMUNICATION 32,629 Nortel Networks Corporation............. 2,226,929 0.9
EQUIPMENT
---------------------------------------------------------------------------------------------------
COMPUTER SERVICES/ 46,200 +ATI Technologies Inc................... 389,755 0.2
SOFTWARE
---------------------------------------------------------------------------------------------------
MACHINERY 32,600 +ATS Automation Tooling Systems, Inc.... 709,557 0.3
---------------------------------------------------------------------------------------------------
OIL-INTEGRATED 15,000 Alberta Energy Company Ltd.............. 605,386 0.3
---------------------------------------------------------------------------------------------------
PAPER & FOREST 25,100 Domtar, Inc............................. 232,925 0.1
PRODUCTS
---------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 46,300 BCE Inc................................. 1,102,519 0.5
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN CANADA 5,267,071 2.3
----------------------------------------------------------------------------------------------------------------
CHINA INTERNET CONTENT 8,800 +China.Com Corporation "A".............. 179,300 0.1
---------------------------------------------------------------------------------------------------
OIL-INTEGRATED 40,400 +PetroChina Company Limited (ADR)*...... 845,875 0.3
---------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN CHINA 1,025,175 0.4
----------------------------------------------------------------------------------------------------------------
DENMARK COMMERCIAL SERVICES 4,100 +ISS A/S................................ 313,464 0.1
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN DENMARK 313,464 0.1
----------------------------------------------------------------------------------------------------------------
FINLAND AUTO-PARTS 35,100 Amer Group Ltd.......................... 969,030 0.4
---------------------------------------------------------------------------------------------------
COMMUNICATION 20,000 Nokia Oyj............................... 1,024,743 0.5
EQUIPMENT
---------------------------------------------------------------------------------------------------
COMPUTER SOFTWARE 13,900 +Stonesoft Oyj.......................... 221,187 0.1
6,400 Tietoenator Oyj......................... 214,420 0.1
----------- ------
435,607 0.2
---------------------------------------------------------------------------------------------------
INSURANCE 23,000 Sampo Insurance Company Ltd. 'A'........ 937,031 0.4
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN FINLAND 3,366,411 1.5
----------------------------------------------------------------------------------------------------------------
FRANCE CHEMICALS 17,950 Aventis SA.............................. 1,315,465 0.6
---------------------------------------------------------------------------------------------------
4,200 Christian Dior SA....................... 956,204 0.4
CONSUMER-MISCELLANEOUS
---------------------------------------------------------------------------------------------------
ELECTRONICS 18,800 Thomson CSF............................. 743,575 0.3
---------------------------------------------------------------------------------------------------
FOOD 5,400 Groupe Danone........................... 719,525 0.3
---------------------------------------------------------------------------------------------------
INFORMATION 2,860 Cap Gemini SA........................... 505,824 0.2
PROCESSING
---------------------------------------------------------------------------------------------------
INSURANCE 9,800 Axa..................................... 1,550,056 0.7
18,900 Scor.................................... 826,341 0.4
----------- ------
2,376,397 1.1
---------------------------------------------------------------------------------------------------
MULTI-INDUSTRY 5 Elf Aquitaine SA........................ 1,028 0.0
---------------------------------------------------------------------------------------------------
MULTI-MEDIA 19,400 +Thomson Multimedia..................... 1,260,866 0.5
---------------------------------------------------------------------------------------------------
OIL-INTEGRATED 9,385 Total Fina SA "B"....................... 1,444,832 0.6
---------------------------------------------------------------------------------------------------
SEMICONDUCTOR 32,400 STMicroelectronics NV (NY Registered
CAPITAL Shares)................................ 2,079,675 0.9
---------------------------------------------------------------------------------------------------
10,700 France Telecom SA....................... 1,501,628 0.7
TELEPHONE-INTEGRATED
---------------------------------------------------------------------------------------------------
UTILITIES-WATER 10,000 Vivendi................................. 886,226 0.4
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN FRANCE 13,791,245 6.0
----------------------------------------------------------------------------------------------------------------
</TABLE>
21
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
COUNTRIES INDUSTRIES HELD COMMON STOCKS VALUE NET ASSETS
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
GERMANY BANKING & FINANCIAL 18,000 Deutsche Bank AG (Registered Shares).... $ 1,490,815 0.7%
---------------------------------------------------------------------------------------------------
CHEMICALS 9,900 Henkel KGaA (Preferred)................. 574,153 0.2
---------------------------------------------------------------------------------------------------
DIVERSIFIED 6,100 RWE AG.................................. 205,831 0.1
---------------------------------------------------------------------------------------------------
ELECTRONIC 7,583 +Epcos AG............................... 766,159 0.3
COMPONENTS
---------------------------------------------------------------------------------------------------
UTILITIES 5,438 Veba AG................................. 267,941 0.1
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN GERMANY 3,304,899 1.4
----------------------------------------------------------------------------------------------------------------
HONG KONG ELECTRONICS 3,000 +Gemstar International Group Limited.... 184,313 0.1
---------------------------------------------------------------------------------------------------
MULTI-INDUSTRY 51,260 Hutchison Whampoa Limited............... 644,424 0.3
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN HONG KONG 828,737 0.4
----------------------------------------------------------------------------------------------------------------
IRELAND BANKING 107,000 Bank of Ireland......................... 672,348 0.3
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN IRELAND 672,348 0.3
----------------------------------------------------------------------------------------------------------------
ITALY AEROSPACE & DEFENSE 460,000 +Finmeccanica SpA....................... 634,977 0.3
---------------------------------------------------------------------------------------------------
OIL-INTEGRATED 148,800 ENI SpA................................. 862,970 0.3
---------------------------------------------------------------------------------------------------
PRINTING & 30,000 +Mondadori (Arnoldo) Editore SpA........ 687,316 0.3
PUBLISHING
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN ITALY 2,185,263 0.9
----------------------------------------------------------------------------------------------------------------
JAPAN APPLIANCES 13,400 Sony Corporation (ADR)*................. 1,263,787 0.6
---------------------------------------------------------------------------------------------------
AUTOMOTIVE 13,000 Honda Motor Co., Ltd.................... 443,552 0.2
10,000 Toyota Motor Corporation................ 456,500 0.2
----------- ------
900,052 0.4
---------------------------------------------------------------------------------------------------
BANKING & FINANCIAL 104,000 The Nikko Securities Co., Ltd........... 1,032,087 0.4
---------------------------------------------------------------------------------------------------
CHEMICALS 21,000 Shin-Etsu Chemical Co., Ltd............. 1,067,813 0.5
---------------------------------------------------------------------------------------------------
COMPUTERS 107,000 NEC Corporation......................... 3,367,610 1.5
---------------------------------------------------------------------------------------------------
DISTRIBUTION 2,400 Softbank Corp........................... 326,639 0.1
---------------------------------------------------------------------------------------------------
DIVERSIFIED 37,000 Olympus Optical Co., Ltd. .............. 664,780 0.3
---------------------------------------------------------------------------------------------------
ELECTRONICS 38,000 Fujitsu Limited......................... 1,318,085 0.6
101,000 Hitachi Ltd............................. 1,460,517 0.6
3,900 +Internet Initiative Japan Inc.
(ADR)*................................. 230,587 0.1
1,530 Keyence Corporation..................... 506,120 0.2
8,000 Kyocera Corporation..................... 1,360,238 0.6
44,000 Matsushita Electric Industrial Company,
Ltd.................................... 1,143,613 0.5
2,000 Murata Manufacturing Co., Ltd........... 287,699 0.1
3,000 Rohm Company Ltd........................ 878,975 0.4
----------- ------
7,185,834 3.1
---------------------------------------------------------------------------------------------------
FINANCE 8,400 Orix Corporation........................ 1,242,474 0.5
---------------------------------------------------------------------------------------------------
INSURANCE 62,000 The Tokio Marine & Fire Insurance Co.
Ltd.................................... 717,244 0.3
---------------------------------------------------------------------------------------------------
MANUFACTURING 5,000 TDK Corporation......................... 720,193 0.3
---------------------------------------------------------------------------------------------------
PHARMACEUTICALS 19,000 Takeda Chemical Industries, Ltd......... 1,249,846 0.5
21,000 Yamanouchi Pharmaceutical Co., Ltd...... 1,149,190 0.5
----------- ------
2,399,036 1.0
---------------------------------------------------------------------------------------------------
REAL ESTATE 104,000 Mitsubishi Estate Company, Limited...... 1,226,710 0.5
118,000 Mitsui Fudosan Co., Ltd................. 1,282,548 0.6
----------- ------
2,509,258 1.1
---------------------------------------------------------------------------------------------------
61 NTT Mobile Communications
TELEPHONE-INTEGRATED Network, Inc........................... 1,654,648 0.7
79 Nippon Telegraph & Telephone Corporation
(NTT).................................. 1,052,786 0.5
----------- ------
2,707,434 1.2
---------------------------------------------------------------------------------------------------
TRANSPORT SERVICES 158 East Japan Railway Company.............. 919,881 0.4
---------------------------------------------------------------------------------------------------
UTILITIES-ELECTRIC 47,000 Tokyo Electric Power.................... 1,148,292 0.5
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN JAPAN 28,172,414 12.2
----------------------------------------------------------------------------------------------------------------
</TABLE>
22
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
COUNTRIES INDUSTRIES HELD COMMON STOCKS VALUE NET ASSETS
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MEXICO BEVERAGES 36,800 Panamerican Beverages, Inc. "A" (US
Registered Shares)..................... $ 549,700 0.2%
---------------------------------------------------------------------------------------------------
CEMENT 14,300 Cemex SA de CV (ADR)*................... 334,262 0.2
---------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 24,000 Telefonos de Mexico SA (ADR)*........... 1,371,000 0.6
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN MEXICO 2,254,962 1.0
----------------------------------------------------------------------------------------------------------------
NETHERLANDS BROADCASTING & 22,400 Wolters Kluwer NV 'A'................... 599,087 0.3
PUBLISHING
---------------------------------------------------------------------------------------------------
ELECTRONIC 24,500 +ASM Lithography Holding NV............. 1,057,326 0.5
COMPONENTS
---------------------------------------------------------------------------------------------------
ELECTRONICS 28,800 Koninklijke (Royal) Philips Electronics
NV (NY Registered Shares............... 1,368,000 0.6
---------------------------------------------------------------------------------------------------
FOOD 59,400 CSM NV.................................. 1,172,981 0.5
34,250 Koninklijke Ahold NV.................... 1,012,212 0.4
----------- ------
2,185,193 0.9
---------------------------------------------------------------------------------------------------
HUMAN RESOURCES 12,600 Vedior NV 'A'........................... 156,415 0.1
---------------------------------------------------------------------------------------------------
PRINTING & 18,800 VNU NV.................................. 974,973 0.4
PUBLISHING
---------------------------------------------------------------------------------------------------
RETAIL 15,500 Vendex KBB NV........................... 264,329 0.1
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THE NETHERLANDS 6,605,323 2.9
----------------------------------------------------------------------------------------------------------------
NORWAY CHEMICALS 13,200 Norsk Hydro ASA......................... 555,939 0.3
---------------------------------------------------------------------------------------------------
COMPUTER SOFTWARE 61,900 +Merkantildata ASA...................... 319,360 0.1
---------------------------------------------------------------------------------------------------
TRANSPORT SERVICES 11,300 Bergesen d.y. ASA 'B'................... 217,468 0.1
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN NORWAY 1,092,767 0.5
----------------------------------------------------------------------------------------------------------------
SINGAPORE BANKING & FINANCIAL 25,586 DBS Group Holdings Limited.............. 328,519 0.1
---------------------------------------------------------------------------------------------------
CONSTRUCTION 97,000 City Developments Limited............... 375,882 0.2
---------------------------------------------------------------------------------------------------
ELECTRONIC 2,700 +Flextronics International Ltd.......... 185,456 0.1
COMPONENTS
---------------------------------------------------------------------------------------------------
TRANSPORT SERVICES 48,900 Singapore Airlines Limited.............. 483,626 0.2
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SINGAPORE 1,373,483 0.6
----------------------------------------------------------------------------------------------------------------
SOUTH KOREA ELECTRONICS 3,400 Samsung Electronics..................... 1,125,177 0.5
---------------------------------------------------------------------------------------------------
INTERNET CONTENT 5,000 +Daum Communications Corporation........ 473,084 0.2
---------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 1,200 SK Telecom Co., Ltd..................... 392,816 0.2
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SOUTH KOREA 1,991,077 0.9
----------------------------------------------------------------------------------------------------------------
SPAIN BANKING 89,000 Banco Bilbao Vizcaya, SA................ 1,335,186 0.6
---------------------------------------------------------------------------------------------------
OIL-INTEGRATED 43,400 Repsol-YPF, SA.......................... 867,428 0.4
---------------------------------------------------------------------------------------------------
79,300 +Telefonica SA.......................... 1,710,382 0.7
TELEPHONE-INTEGRATED
---------------------------------------------------------------------------------------------------
UTILITIES-ELECTRIC 39,200 Endesa SA............................... 762,440 0.3
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SPAIN 4,675,436 2.0
----------------------------------------------------------------------------------------------------------------
SWEDEN APPLIANCES 48,100 Electrolux AB "B"....................... 748,563 0.3
---------------------------------------------------------------------------------------------------
AUTO-PARTS 17,200 Autoliv, Inc............................ 423,578 0.2
---------------------------------------------------------------------------------------------------
DIVERSIFIED 4,900 Custos AB "A"........................... 134,078 0.1
19,100 Custos AB "B"........................... 531,342 0.2
----------- ------
665,420 0.3
---------------------------------------------------------------------------------------------------
</TABLE>
23
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
COUNTRIES INDUSTRIES HELD COMMON STOCKS VALUE NET ASSETS
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SWEDEN INVESTMENT 137,400 Investment AB Bure...................... $ 1,033,907 0.5%
(CONCLUDED) MANAGEMENT
---------------------------------------------------------------------------------------------------
REAL ESTATE 29,400 Castellum AB............................ 318,436 0.1
63,000 Fastighets AB Tornet.................... 829,609 0.4
----------- ------
1,148,045 0.5
---------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 48,400 Telefonaktiebolaget LM Ericsson AB
"B".................................... 962,923 0.4
27,000 +Telia AB............................... 255,501 0.1
----------- ------
1,218,424 0.5
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SWEDEN 5,237,937 2.3
----------------------------------------------------------------------------------------------------------------
SWITZERLAND BANKING 6,800 Credit Suisse Group (Registered
Shares)................................ 1,356,989 0.6
---------------------------------------------------------------------------------------------------
BANKING & FINANCIAL 10,200 UBS AG (Registered)..................... 1,499,170 0.6
---------------------------------------------------------------------------------------------------
FOODS/FOOD 553 Nestle SA (Registered Shares)........... 1,110,353 0.5
PROCESSING
---------------------------------------------------------------------------------------------------
HUMAN RESOURCES 418 Adecco SA (Registered Shares)........... 356,281 0.2
---------------------------------------------------------------------------------------------------
PHARMACEUTICALS 86 +Givaudan (Registered).................. 26,259 0.0
325 Novartis AG (Registered Shares)......... 516,450 0.2
86 Roche Holding AG (Genuss)............... 839,850 0.4
----------- ------
1,382,559 0.6
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SWITZERLAND 5,705,352 2.5
----------------------------------------------------------------------------------------------------------------
TAIWAN SEMICONDUCTORS 64,000 +Taiwan Semiconductor Manufacturing
Company................................ 303,377 0.1
---------------------------------------------------------------------------------------------------
TEXTILES 11,400 +Far Eastern Textile Ltd. (GDR)**....... 139,650 0.1
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN TAIWAN 443,027 0.2
----------------------------------------------------------------------------------------------------------------
UNITED BANKING 50,000 Barclays PLC............................ 1,243,669 0.5
KINGDOM 72,800 HSBC Holdings PLC....................... 832,651 0.4
----------- ------
2,076,320 0.9
---------------------------------------------------------------------------------------------------
BEVERAGES 183,348 Diageo PLC.............................. 1,645,993 0.7
---------------------------------------------------------------------------------------------------
BUILDING & 179,000 Hanson PLC.............................. 1,265,514 0.6
CONSTRUCTION
---------------------------------------------------------------------------------------------------
CABLE TELEVISION 88,600 +Telewest Communications PLC............ 305,820 0.1
SERVICES
---------------------------------------------------------------------------------------------------
COMPUTER SERVICES 11,200 Logica PLC.............................. 265,187 0.1
---------------------------------------------------------------------------------------------------
INSURANCE-LIFE 261,000 Old Mutual PLC.......................... 573,923 0.3
---------------------------------------------------------------------------------------------------
MANUFACTURING 322,000 Invensys PLC............................ 1,208,940 0.5
---------------------------------------------------------------------------------------------------
OIL-INTEGRATED 129,000 BP Amoco PLC............................ 1,238,158 0.5
25,900 Shell Transport & Trading Company
(ADR)*................................. 1,293,381 0.6
----------- ------
2,531,539 1.1
---------------------------------------------------------------------------------------------------
PHARMACEUTICALS 19,900 AstraZeneca Group PLC................... 929,406 0.4
22,900 Glaxo Wellcome PLC...................... 668,058 0.3
59,800 SmithKline Beecham PLC.................. 783,095 0.3
----------- ------
2,380,559 1.0
---------------------------------------------------------------------------------------------------
PUBLISHING 104,600 +Reckitt Benckiser PLC.................. 1,171,819 0.5
---------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 45,300 Cable & Wireless PLC.................... 767,407 0.3
13,300 +Energis PLC............................ 498,942 0.2
90,000 Marconi PLC............................. 1,171,759 0.5
543,028 Vodafone AirTouch PLC................... 2,194,981 1.0
----------- ------
4,633,089 2.0
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THE
UNITED KINGDOM 18,058,703 7.8
----------------------------------------------------------------------------------------------------------------
</TABLE>
24
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
COUNTRIES INDUSTRIES HELD COMMON STOCKS VALUE NET ASSETS
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
UNITED AEROSPACE 6,600 The Boeing Company...................... $ 275,962 0.1%
STATES
---------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 9,801 United Technologies Corporation......... 577,034 0.3
---------------------------------------------------------------------------------------------------
APPAREL 6,800 The Gap, Inc............................ 212,500 0.1
---------------------------------------------------------------------------------------------------
APPLICATION 2,840 +Siebel Systems, Inc.................... 464,518 0.2
DEVELOPMENT
---------------------------------------------------------------------------------------------------
AUTOMOTIVE 1,400 +General Motors Corporation (Class H)... 122,850 0.1
---------------------------------------------------------------------------------------------------
BANKING 11,626 Bank of America Corporation............. 499,918 0.2
30,560 The Bank of New York Company, Inc....... 1,421,040 0.6
7,550 The Chase Manhattan Corporation......... 347,772 0.2
----------- ------
2,268,730 1.0
---------------------------------------------------------------------------------------------------
BEVERAGES 20,200 The Coca-Cola Company................... 1,160,237 0.5
---------------------------------------------------------------------------------------------------
BROADCASTING & 9,200 +TV Guide, Inc. (Class A)............... 315,100 0.1
PUBLISHING
---------------------------------------------------------------------------------------------------
BROADCASTING-CABLE 49,200 +AT&T Corp.-Liberty Media Group
(Class A).............................. 1,193,100 0.5
---------------------------------------------------------------------------------------------------
BROADCASTING-MEDIA 1,700 +Univision Communications Inc.
(Class A).............................. 175,950 0.1
---------------------------------------------------------------------------------------------------
BUILDING PRODUCTS 4,240 +American Tower Corporation (Class A)... 176,755 0.1
---------------------------------------------------------------------------------------------------
BUSINESS SERVICES 9,700 +Oracle Corporation..................... 814,800 0.4
---------------------------------------------------------------------------------------------------
CABLE 24,200 +Charter Communications, Inc.
(Class A).............................. 397,787 0.2
---------------------------------------------------------------------------------------------------
CAPITAL EQUIPMENT 3,051 +Agilent Technologies, Inc.............. 225,011 0.1
8,000 Hewlett-Packard Company................. 999,000 0.4
----------- ------
1,224,011 0.5
---------------------------------------------------------------------------------------------------
CAPITAL GOODS 2,100 Minnesota Mining and Manufacturing
Company................................ 173,250 0.1
---------------------------------------------------------------------------------------------------
CELLULAR TELEPHONES 4,900 +Dobson Communications Corporation
(Class A).............................. 94,325 0.0
---------------------------------------------------------------------------------------------------
CHEMICALS 19,244 Rohm and Haas Company................... 663,918 0.3
---------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES 11,700 +Convergys Corporation.................. 606,937 0.3
---------------------------------------------------------------------------------------------------
COMMUNICATIONS 600 +CIENA Corporation...................... 99,975 0.0
EQUIPMENT 25,800 Lucent Technologies Inc................. 1,528,650 0.7
13,515 +WorldCom, Inc.......................... 620,001 0.3
----------- ------
2,248,626 1.0
---------------------------------------------------------------------------------------------------
COMMUNICATIONS 5,200 +Pegasus Communications Corporation..... 254,475 0.1
---------------------------------------------------------------------------------------------------
COMPUTER SERVICES 15,200 +America Online, Inc.................... 801,800 0.3
46,120 +Cisco Systems, Inc..................... 2,931,502 1.3
4,300 Electronic Data Systems Corporation..... 177,375 0.1
8,695 International Business Machines
Corporation............................ 952,646 0.4
500 +StorageNetworks, Inc................... 45,125 0.0
----------- ------
4,908,448 2.1
---------------------------------------------------------------------------------------------------
COMPUTER TECHNOLOGY 8,200 +Solectron Corporation.................. 343,375 0.1
---------------------------------------------------------------------------------------------------
COMPUTERS 10,700 Compaq Computer Corporation............. 273,519 0.1
6,400 +Dell Computer Corporation.............. 315,600 0.1
15,220 +EMC Corporation........................ 1,170,989 0.5
6,400 RadioShack Corporation.................. 303,200 0.1
24,600 +Sun Microsystems, Inc.................. 2,237,063 1.0
----------- ------
4,300,371 1.8
---------------------------------------------------------------------------------------------------
COMPUTERS & 1,600 +Ariba, Inc............................. 156,800 0.1
COMPUTER SERVICES
---------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS 8,900 Honeywell International Inc............. 299,819 0.1
---------------------------------------------------------------------------------------------------
</TABLE>
25
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
COUNTRIES INDUSTRIES HELD COMMON STOCKS VALUE NET ASSETS
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
UNITED DIVERSIFIED 3,400 +Conexant Systems, Inc.................. $ 165,112 0.1%
STATES COMPANIES
2,250 Corning Incorporated.................... 607,219 0.2
(CONTINUED)
----------- ------
772,331 0.3
---------------------------------------------------------------------------------------------------
ELECTRIC & GAS 21,000 +Calpine Corporation.................... 1,380,750 0.6
---------------------------------------------------------------------------------------------------
ELECTRICAL 400 +Capstone Turbine Corporation........... 18,075 0.0
10,000 DPL Inc. ............................... 219,375 0.1
----------- ------
237,450 0.1
---------------------------------------------------------------------------------------------------
ELECTRICAL & 5,200 +The AES Corporation.................... 237,250 0.1
ELECTRONICS
---------------------------------------------------------------------------------------------------
ELECTRICAL 42,050 General Electric Company................ 2,228,650 1.0
EQUIPMENT
---------------------------------------------------------------------------------------------------
ELECTRONIC 2,900 +LSI Logic Corporation.................. 156,963 0.1
COMPONENTS
---------------------------------------------------------------------------------------------------
ELECTRONICS 1,000 +Analog Devices, Inc.................... 76,000 0.0
2,700 +Broadcom Corporation (Class A)......... 591,131 0.3
25,050 Intel Corporation....................... 3,347,306 1.5
10,800 Texas Instruments Incorporated.......... 741,825 0.3
----------- ------
4,756,262 2.1
---------------------------------------------------------------------------------------------------
FIBER OPTICS 200 +Exfo Electro-Optical Engineering
Inc.................................... 8,775 0.0
---------------------------------------------------------------------------------------------------
FINANCE 6,600 Freddie Mac............................. 267,300 0.1
---------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 10,190 Associates First Capital Corporation
(Class A).............................. 227,364 0.1
7,500 The Charles Schwab Corporation.......... 252,188 0.1
21,200 Citigroup Inc. ......................... 1,277,300 0.5
16,740 Wells Fargo Company..................... 648,675 0.3
----------- ------
2,405,527 1.0
---------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 14,510 Colgate-Palmolive Company............... 868,786 0.4
2,400 The Procter & Gamble Company............ 137,400 0.0
----------- ------
1,006,186 0.4
---------------------------------------------------------------------------------------------------
INSURANCE 10,780 AXA Financial, Inc...................... 366,520 0.2
5,850 American International Group, Inc....... 687,375 0.3
2,800 ITT Industries, Inc..................... 85,050 0.0
----------- ------
1,138,945 0.5
---------------------------------------------------------------------------------------------------
INTERNET SOFTWARE 3,100 +IntraNet Solutions, Inc................ 118,962 0.1
1,644 +VeriSign, Inc.......................... 289,814 0.1
----------- ------
408,776 0.2
---------------------------------------------------------------------------------------------------
INTERNETWORKING 200 +Alamosa PCS Holdings, Inc.............. 4,175 0.0
2,000 +InfoSpace.com, Inc..................... 110,500 0.0
1,700 +Inktomi Corporation.................... 201,025 0.1
----------- ------
315,700 0.1
---------------------------------------------------------------------------------------------------
LASER SYSTEMS & 7,230 +JDS Uniphase Corporation............... 866,244 0.4
COMPONENTS
---------------------------------------------------------------------------------------------------
MANUFACTURING 16,450 Tyco International Ltd.................. 779,319 0.3
---------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 3,600 +Boston Scientific Corporation.......... 78,975 0.0
4,250 Johnson & Johnson....................... 432,969 0.2
----------- ------
511,944 0.2
---------------------------------------------------------------------------------------------------
METALS 12,272 Alcoa Inc............................... 355,888 0.1
---------------------------------------------------------------------------------------------------
MULTI-INDUSTRY 2,500 Textron, Inc............................ 135,781 0.1
---------------------------------------------------------------------------------------------------
MULTI-MEDIA 3,000 Time Warner Inc......................... 228,000 0.1
---------------------------------------------------------------------------------------------------
NATURAL GAS 21,460 Enron Corp.............................. 1,384,170 0.6
---------------------------------------------------------------------------------------------------
NATURAL RESOURCES 17,350 Burlington Resources Inc. .............. 663,637 0.3
---------------------------------------------------------------------------------------------------
NETWORKING PRODUCTS 1,200 +ONI Systems Corp. ..................... 140,625 0.1
---------------------------------------------------------------------------------------------------
OIL & GAS PRODUCERS 3,500 +Nabors Industries, Inc. ............... 145,469 0.1
---------------------------------------------------------------------------------------------------
OIL-INTEGRATED 20,565 Exxon Mobil Corporation................. 1,614,352 0.7
---------------------------------------------------------------------------------------------------
</TABLE>
26
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
COUNTRIES INDUSTRIES HELD COMMON STOCKS VALUE NET ASSETS
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
UNITED OIL SERVICES 5,200 Schlumberger Limited.................... $ 388,050 0.2%
STATES
(CONCLUDED)
---------------------------------------------------------------------------------------------------
PHARMACEUTICALS 12,980 American Home Products Corporation...... 762,575 0.3
10,950 Cardinal Health, Inc.................... 810,300 0.4
3,800 Eli Lilly and Company................... 379,525 0.2
15,960 Merck & Co., Inc........................ 1,222,935 0.5
26,040 Pfizer Inc.............................. 1,249,920 0.5
4,800 Schering-Plough Corporation............. 242,400 0.1
----------- ------
4,667,655 2.0
---------------------------------------------------------------------------------------------------
RADIO & TELEVISION 14,325 +AMFM Inc............................... 988,425 0.4
---------------------------------------------------------------------------------------------------
RETAIL 11,970 Lowes Companies, Inc.................... 491,518 0.2
9,570 +Safeway Inc............................ 431,846 0.2
12,340 Wal-Mart Stores, Inc.................... 711,092 0.3
----------- ------
1,634,456 0.7
---------------------------------------------------------------------------------------------------
SCIENTIFIC 4,600 Millipore Corporation................... 346,725 0.1
EQUIPMENT
---------------------------------------------------------------------------------------------------
SEMICONDUCTORS 18,600 Motorola, Inc........................... 540,563 0.2
---------------------------------------------------------------------------------------------------
SOFTWARE 8,400 +Amdocs Limited......................... 644,700 0.3
600 +Macromedia, Inc........................ 57,975 0.0
16,240 +Microsoft Corporation.................. 1,298,185 0.6
8,200 +Network Associates, Inc................ 167,075 0.1
2,500 +RSA Security Inc....................... 173,750 0.1
2,200 +VERITAS Software Corporation........... 248,600 0.1
2,500 +Wind River Systems, Inc................ 94,688 0.0
2,800 +Yahoo! Inc............................. 346,850 0.1
----------- ------
3,031,823 1.3
---------------------------------------------------------------------------------------------------
TECHNOLOGY 2,500 Symbol Technologies, Inc................ 135,000 0.1
---------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 7,100 +Adelphia Business Solutions, Inc....... 164,187 0.1
18,100 GTE Corporation......................... 1,126,725 0.5
2,000 +Level 3 Communications, Inc............ 175,875 0.1
3,300 +Qwest Communications International
Inc.................................... 163,969 0.1
3,000 Sprint Corp. (FON Group)................ 153,000 0.0
----------- ------
1,783,756 0.8
---------------------------------------------------------------------------------------------------
15,900 SBC Communications Inc.................. 687,675 0.3
UTILITIES-COMMUNICATION
---------------------------------------------------------------------------------------------------
UTILITIES-ELECTRIC 6,700 Constellation Energy Group.............. 218,169 0.1
---------------------------------------------------------------------------------------------------
UTILITIES-GAS 6,000 Dynegy Inc. (Class A)................... 409,875 0.2
PIPELINE
---------------------------------------------------------------------------------------------------
WIRELESS 500 +Telaxis Communications Corporation..... 15,594 0.0
COMMUNICATIONS
---------------------------------------------------------------------------------------------------
WIRELESS 11,200 +Nextel Communications, Inc.
(Class A).............................. 685,300 0.3
COMMUNICATIONS- 9,000 +Sprint Corp. (PCS Group)............... 535,500 0.2
DOMESTIC PAGING &
----------- ------
CELLULAR 1,220,800 0.5
----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THE UNITED STATES 61,644,538 26.7
----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN COMMON STOCKS
(COST-$140,802,938) 171,633,083 74.4
----------------------------------------------------------------------------------------------------------------
</TABLE>
27
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE PERCENT OF
COUNTRIES AMOUNT FIXED-INCOME SECURITIES VALUE NET ASSETS
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CANADA C$ 2,500,000 Canadian Government Bond, 5.50% due
6/01/2010.............................. $ 1,643,879 0.7%
-------------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN CANADA 1,643,879 0.7
-------------------------------------------------------------------------------------------------------------------
GERMANY [EURO] 10,900,000 BundesObligation, 4.75% due
11/20/2001............................. 10,420,633 4.5
Bundesrepublic Deutschland:
1,020,000 6.50% due 10/14/2005................ 1,038,391 0.5
2,985,000 4.75% due 7/04/2028................. 2,551,898 1.1
-------------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN GERMANY 14,010,922 6.1
-------------------------------------------------------------------------------------------------------------------
SWEDEN Skr 20,000,000 Swedish Government Bond, 5% due
1/15/2004.............................. 2,260,153 1.0
-------------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN SWEDEN 2,260,153 1.0
-------------------------------------------------------------------------------------------------------------------
UNITED United Kingdom Treasury Gilt:
KINGDOM L 975,000 7% due 11/06/2001 1,494,246 0.6
900,000 7.25% due 12/07/2007 1,504,493 0.7
-------------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN THE
UNITED KINGDOM 2,998,739 1.3
-------------------------------------------------------------------------------------------------------------------
UNITED Federal National Mortgage Association:
STATES US$ 200,000 6.375% due 6/15/2009 190,124 0.1
1,000,000 6.625% due 9/15/2009 966,090 0.4
US Treasury Bonds:
2,650,000 6.25% due 8/15/2023 2,671,518 1.2
3,725,000 6.125% due 8/15/2029 3,762,250 1.6
US Treasury Notes:
11,900,000 5.75% due 6/30/2001 11,812,654 5.1
3,000,000 5.50% due 7/31/2001 2,969,520 1.3
1,800,000 5.50% due 8/31/2001 1,780,038 0.8
-------------------------------------------------------------------------------------------------------------------
TOTAL FIXED-INCOME SECURITIES IN THE
UNITED STATES 24,152,194 10.5
-------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN FIXED-INCOME
SECURITIES (COST-$45,934,010) 45,065,887 19.6
-------------------------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES
-------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER*** 11,009,000 General Motors Acceptance Corp., 7.13%
due 7/03/2000 11,004,639 4.8
2,000,000 Goldman Sachs Group, Inc., 6.75% due
7/06/2000 1,998,125 0.8
-------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SHORT-TERM
SECURITIES (COST-$13,002,764) 13,002,764 5.6
-------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST-$199,739,712) 229,701,734 99.6
UNREALIZED APPRECIATION ON FORWARD
FOREIGN EXCHANGE CONTRACTS****......... 67,827 0.0
OTHER ASSETS LESS LIABILITIES........... 968,052 0.4
------------ ------
NET ASSETS.............................. $230,737,613 100.0%
============ ======
-------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
* American Depositary Receipts (ADR).
** Global Depositary Receipts (GDR).
*** Commercial Paper is traded on a discount basis; the interest rates shown
reflect the discount rates paid at the time of purchase by the Portfolio.
28
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Global Strategy Portfolio
Schedule of Investments as of June 30, 2000 (Concluded) (in US dollars)
--------------------------------------------------------------------------------
**** Forward foreign exchange contracts sold as of June 30, 2000 were as
follows:
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------
UNREALIZED
FOREIGN EXPIRATION APPRECIATION
CURRENCY SOLD DATE (DEPRECIATION)
--------------------------------------------------------------------------------------------------------------
<S> <C> <C>
A$ 1,450,000 July 2000 $ 1,798
[EURO] 12,800,000 August 2000 (33,984)
L 3,440,000 August 2000 155
Y 2,950,000,000 July 2000 99,858
--------------------------------------------------------------------------------------------------------------
TOTAL UNREALIZED APPRECIATION ON FORWARD FOREIGN EXCHANGE
CONTRACTS-NET (US$ COMMITMENT-$46,366,701) $ 67,827
=========
--------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of June 30, 2000 (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD STOCKS VALUE NET ASSETS
<S> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------------
ADVERTISING 100,000 The Interpublic Group of Companies, Inc.......... $ 4,300,000 0.6%
------------------------------------------------------------------------------------------------------------------------
AUTOMOBILE 26,000 Toyota Motor Corporation (ADR)*.................. 2,422,875 0.4
------------------------------------------------------------------------------------------------------------------------
BANKING & FINANCIAL 200,000 Citigroup Inc.................................... 12,050,000 1.8
6,300 State Street Corporation......................... 668,194 0.1
------------ -----
12,718,194 1.9
------------------------------------------------------------------------------------------------------------------------
BEVERAGES 190,000 The Coca-Cola Company............................ 10,913,125 1.6
------------------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY 10,000 +Affymetrix, Inc................................. 1,650,625 0.2
189,000 +Immunex Corporation............................. 9,343,687 1.4
------------ -----
10,994,312 1.6
------------------------------------------------------------------------------------------------------------------------
BROADCASTING-MEDIA 100,000 +Infinity Broadcasting Corporation (Class A)..... 3,643,750 0.5
------------------------------------------------------------------------------------------------------------------------
BROADCASTING- 80,000 +AMFM Inc........................................ 5,520,000 0.8
RADIO & TELEVISION 125,000 +Clear Channel Communications, Inc............... 9,375,000 1.4
75,950 +Viacom, Inc. (Class B).......................... 5,178,841 0.8
------------ -----
20,073,841 3.0
------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS 155,000 +3Com Corporation................................ 8,922,187 1.3
EQUIPMENT 30,000 +Alteon Websystems, Inc.......................... 3,000,000 0.4
530,000 +Cisco Systems, Inc.............................. 33,688,125 5.0
200,000 +JDS Uniphase Corporation........................ 23,962,500 3.6
64,000 Nokia Oyj 'A' (ADR)*............................. 3,196,000 0.5
440,000 Nortel Networks Corporation...................... 30,030,000 4.4
30,000 +SDL Inc......................................... 8,555,625 1.3
620,000 Telefonaktiebolaget LM Ericsson (ADR)*........... 12,400,000 1.8
------------ -----
123,754,437 18.3
------------------------------------------------------------------------------------------------------------------------
COMPUTER-SOFTWARE 220,000 +BEA Systems, Inc................................ 10,862,500 1.6
160,000 +Commerce One, Inc............................... 7,290,000 1.1
150,000 +Oracle Corporation.............................. 12,600,000 1.9
25,000 +Rational Software Corporation................... 2,321,875 0.3
30,000 +Siebel Systems, Inc............................. 4,906,875 0.7
------------ -----
37,981,250 5.6
------------------------------------------------------------------------------------------------------------------------
COMPUTERS 400,000 +EMC Corporation................................. 30,775,000 4.6
266,000 +Sun Microsystems, Inc........................... 24,189,375 3.6
------------ -----
54,964,375 8.2
------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 630,000 General Electric Company......................... 33,390,000 4.9
------------------------------------------------------------------------------------------------------------------------
ELECTRONICS 26,000 +Broadcom Corporation (Class A).................. 5,692,375 0.8
180,000 +LSI Logic Corporation........................... 9,742,500 1.5
170,000 Texas Instruments Incorporated................... 11,676,875 1.7
45,000 +Xilinx, Inc..................................... 3,715,312 0.6
------------ -----
30,827,062 4.6
------------------------------------------------------------------------------------------------------------------------
ENERGY 190,500 BP Amoco PLC (ADR)*.............................. 10,775,156 1.6
200,000 El Paso Energy Corporation....................... 10,187,500 1.5
261,000 Enron Corp....................................... 16,834,500 2.5
210,000 Exxon Mobil Corporation.......................... 16,485,000 2.4
165,000 Royal Dutch Petroleum Company (NY Registered
Shares)......................................... 10,157,813 1.5
------------ -----
64,439,969 9.5
------------------------------------------------------------------------------------------------------------------------
ENTERTAINMENT 255,000 The Walt Disney Company.......................... 9,897,187 1.5
------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 32,100 T. Rowe Price Associates, Inc.................... 1,364,250 0.2
------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 157,000 Colgate-Palmolive Company........................ 9,400,375 1.4
------------------------------------------------------------------------------------------------------------------------
</TABLE>
30
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD STOCKS VALUE NET ASSETS
<S> <C> <C> <C> <C>
INFORMATION 350,000 +America Online, Inc............................. $ 18,462,500 2.7%
PROCESSING 110,000 +China.Com Corporation 'A'....................... 2,241,250 0.3
320,000 +Exodus Communication, Inc. ..................... 14,740,000 2.2
30,000 +Palm, Inc....................................... 1,001,250 0.2
------------ -----
36,445,000 5.4
------------------------------------------------------------------------------------------------------------------------
INSURANCE 80,000 American International Group, Inc................ 9,400,000 1.4
------------------------------------------------------------------------------------------------------------------------
LEISURE 28,000 Sony Corporation (ADR)*.......................... 2,640,750 0.4
------------------------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 70,000 Medtronic, Inc. ................................. 3,486,875 0.5
------------------------------------------------------------------------------------------------------------------------
OIL SERVICES 270,000 Baker Hughes Incorporated........................ 8,640,000 1.3
70,000 Diamond Offshore Drilling, Inc................... 2,458,750 0.4
60,000 Halliburton Company.............................. 2,831,250 0.4
150,000 Schlumberger Limited............................. 11,193,750 1.6
------------ -----
25,123,750 3.7
------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 115,000 Merck & Co., Inc................................. 8,811,875 1.3
450,000 Pfizer Inc....................................... 21,600,000 3.2
------------ -----
30,411,875 4.5
------------------------------------------------------------------------------------------------------------------------
RESTAURANTS 50,000 McDonald's Corporation........................... 1,646,875 0.3
------------------------------------------------------------------------------------------------------------------------
RETAIL 120,000 +Amazon.com, Inc. ............................... 4,357,500 0.7
114,000 +eBay Inc........................................ 6,184,500 0.9
------------ -----
10,542,000 1.6
------------------------------------------------------------------------------------------------------------------------
RETAIL SPECIALTY 15,000 CVS Corporation.................................. 600,000 0.1
35,000 +Staples, Inc.................................... 538,125 0.1
50,000 Walgreen Co...................................... 1,609,375 0.2
------------ -----
2,747,500 0.4
------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS 270,000 +ASM Lithography Holding NV (ADR)*............... 11,896,875 1.8
100,000 +Applied Materials, Inc.......................... 9,062,500 1.3
120,000 +KLA-Tencor Corporation.......................... 7,027,500 1.0
------------ -----
27,986,875 4.1
------------------------------------------------------------------------------------------------------------------------
WIRELESS 17,000 Sonera Oyj (ADR)*................................ 780,938 0.1
COMMUNICATIONS 62,000 +Sprint Corp. (PCS Group)........................ 3,689,000 0.6
300,000 Vodafone AirTouch PLC (ADR)*..................... 12,431,250 1.8
120,000 +Western Wireless Corporation (Class A).......... 6,532,500 1.0
------------ -----
23,433,688 3.5
------------------------------------------------------------------------------------------------------------------------
WIRELINE 180,000 AT&T Corp........................................ 5,692,500 0.8
COMMUNICATIONS 200,000 +Equant (NY Registered Shares)................... 8,600,000 1.3
135,000 +Infonet Services Corporation (Class B).......... 1,611,563 0.2
220,000 +NorthPoint Communications Group, Inc. .......... 2,447,500 0.4
180,000 +WorldCom, Inc. ................................. 8,257,500 1.2
------------ -----
26,609,063 3.9
------------------------------------------------------------------------------------------------------------------------
TOTAL STOCKS (COST-$494,934,347) 631,559,253 93.5
------------------------------------------------------------------------------------------------------------------------
</TABLE>
31
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Growth Stock Portfolio
Schedule of Investments as of June 30, 2000 (Concluded) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE PERCENT OF
AMOUNT SHORT-TERM SECURITIES VALUE NET ASSETS
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMERCIAL PAPER** $19,527,000 General Motors Acceptance Corp., 7.13% due
7/03/2000....................................... $ 19,515,398 2.9%
15,000,000 Morgan Stanley, Dean Witter Corp. 6.53% due
7/20/2000....................................... 14,945,583 2.2
------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT AGENCY 24,000,000 Federal Home Loan Mortgage Corporation, 6.41% due
OBLIGATIONS** 8/01/2000....................................... 23,863,253 3.5
------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES (COST-$58,324,234) 58,324,234 8.6
------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST-$553,258,581)............ 689,883,487 102.1
LIABILITIES IN EXCESS OF OTHER ASSETS............ (13,898,031) (2.1)
------------ -----
NET ASSETS....................................... $675,985,456 100.0%
============ =====
------------------------------------------------------------------------------------------------------------------------
</TABLE>
* American Depositary Receipts (ADR).
** Commercial Paper and certain US Government Agency Obligations are traded on a
discount basis; the interest rates shown reflect the discount rates paid at
the time of purchase by the Portfolio.
+ Non-income producing security.
See Notes to Financial Statements.
32
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 2000 (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE VALUE
---------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
AIRLINES-0.7% BB- Ba3 $ 750,000 USAir Inc., 10.375% due 3/01/2013....... $ 682,304
---------------------------------------------------------------------------------------------------------------
AUTOMOTIVE-0.8% NR* NR* 1,000,000 Breed Technologies Inc., 9.25% due
4/15/2008(e)........................... 6,250
B B2 1,000,000 Venture Holdings Trust, 11% due
6/01/2007.............................. 770,000
------------
776,250
---------------------------------------------------------------------------------------------------------------
AUTOMOTIVE BB Ba2 1,000,000 Federal-Mogul Corporation, 7.50% due
EQUIPMENT-0.7% 1/15/2009.............................. 685,853
---------------------------------------------------------------------------------------------------------------
BROADCASTING-RADIO & B B1 2,000,000 Chancellor Media Corp., 9% due
10/01/2008............................. 2,060,000
TELEVISION-2.9% B- B3 1,000,000 Cumulus Media, Inc., 10.375% due
7/01/2008.............................. 845,000
------------
2,905,000
---------------------------------------------------------------------------------------------------------------
CABLE-DOMESTIC-3.9% BB- B1 2,000,000 Century Communications Corporation,
9.50% due 3/01/2005.................... 1,915,000
B+ B2 1,000,000 Charter Communications Holdings, 10% due
4/01/2009.............................. 965,000
B+ B1 1,000,000 Olympus Communications LP/Capital Corp.,
10.625% due 11/15/2006................. 990,000
------------
3,870,000
---------------------------------------------------------------------------------------------------------------
CABLE- Australis Media Ltd.(a)(e):
INTERNATIONAL-3.2% D NR* 2,000,000 15.75% due 5/15/2003(g)................ 20,000
D NR* 34,214 15.75% due 5/15/2003................... 342
BB B1 1,000,000 Cablevision SA, 13.75% due 5/01/2009.... 910,000
B+ B2 1,000,000 Globo Comunicacoes e Participacoes,
Ltd., 10.50% due 12/20/2006(b)......... 858,750
B- B3 1,000,000 International Cabletel, Inc., Series B,
10.688%** due 2/01/2006................ 922,500
B B2 1,000,000 United Pan-Europe Communications,
13.75%** due 2/01/2010................. 470,000
------------
3,181,592
---------------------------------------------------------------------------------------------------------------
CAPITAL GOODS-2.6% B+ B1 1,000,000 Bucyrus International, 9.75% due
9/15/2007.............................. 198,750
B B2 1,000,000 Columbus McKinnon Corp., 8.50% due
4/01/2008.............................. 860,000
B- B3 1,500,000 International Wire Group, Inc., 11.75%
due 6/01/2005.......................... 1,507,500
------------
2,566,250
---------------------------------------------------------------------------------------------------------------
CHEMICALS-2.7% BB- Ba3 744,000 ISP Holdings Inc., 9.75% due
2/15/2002.............................. 723,540
BB Ba3 2,000,000 Lyondell Chemical Company, 9.875% due
5/01/2007(b)........................... 1,975,000
------------
2,698,540
---------------------------------------------------------------------------------------------------------------
COMPUTER B- B3 1,000,000 PSINet, Inc., Series B, 10% due
SERVICES-0.9% 2/15/2005.............................. 920,000
---------------------------------------------------------------------------------------------------------------
COMPUTER SERVICES/ BB- Ba3 2,000,000 Amkor Technologies Inc., 9.25% due
ELECTRONICS-2.0% 5/01/2006.............................. 1,972,500
---------------------------------------------------------------------------------------------------------------
CONGLOMERATES-0.4% B- B3 500,000 Eagle-Picher Industries, 9.375% due
3/01/2008.............................. 425,000
---------------------------------------------------------------------------------------------------------------
DIVERSIFIED-3.6% B B1 2,000,000 Applied Power Inc., 8.75% due
4/01/2009.............................. 2,070,000
B- B2 1,000,000 Koppers Industries, Inc., 9.875% due
12/01/2007............................. 922,500
NR* Caa1 1,000,000 RBX Corp., 12% due 1/15/2003............ 550,000
------------
3,542,500
---------------------------------------------------------------------------------------------------------------
</TABLE>
33
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE VALUE
---------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ENERGY-5.4% B B2 $ 500,000 Chesapeake Energy Corp., 9.125% due
4/15/2006.............................. $ 460,000
B- Caa1 2,000,000 Energy Corp. of America, 9.50% due
5/15/2007.............................. 1,280,000
BB- Ba3 500,000 Ocean Energy Inc., 8.375% due
7/01/2008.............................. 485,000
CCC B3 1,000,000 Ocean Rig Norway AS, 10.25% due
6/01/2008.............................. 830,000
B+ B1 500,000 Parker Drilling Co., 9.75% due
11/15/2006............................. 483,750
NR* B2 1,000,000 Petroleo Brasileiro SA, 10% due
10/17/2006(b).......................... 982,500
BB Ba3 200,000 Port Arthur Finance Corporation, 12.50%
due 1/15/2009.......................... 194,000
CCC- Caa2 1,000,000 Southwest Royalties Inc., 10.50% due
10/15/2004............................. 640,000
------------
5,355,250
---------------------------------------------------------------------------------------------------------------
ENTERTAINMENT-0.3% CCC+ Caa1 1,252,000 AMF Bowling Worldwide Inc., 12.082%**
due 3/15/2006.......................... 250,400
---------------------------------------------------------------------------------------------------------------
FOOD & BEVERAGE-2.3% BB Ba2 1,500,000 Canandaigua Brands, 8.625% due
8/01/2006.............................. 1,481,250
B B1 1,000,000 Chiquita Brands International Inc.,
9.125% due 3/01/2004................... 785,000
------------
2,266,250
---------------------------------------------------------------------------------------------------------------
GAMING-1.3% D Caa1 1,000,000 GB Property Funding Corp., 10.875% due
1/15/2004(e)........................... 610,000
Jazz Casino Co. LLC:
NR* NR* 943,164 5.987%** due 11/15/2009(a)............. 160,338
NR* NR* 84,000 Contigent Notes due 11/15/2009(f)...... 0
B- Caa1 500,000 Venetian Casino/LV Sands, 12.25% due
11/15/2004............................. 505,000
------------
1,275,338
---------------------------------------------------------------------------------------------------------------
HEALTHCARE-5.5% B+ B1 1,000,000 Beverly Enterprises Inc., 9% due
2/15/2006.............................. 825,000
BB+ Ba2 750,000 Columbia HCA/Healthcare Corp., 7.15% due
3/30/2004.............................. 697,500
B+ Ba3 1,000,000 Fresenius Medical Capital Trust II,
7.875% due 2/01/2008................... 890,000
BB Ba3 2,000,000 ICN Pharmaceutical Inc., 8.75% due
11/15/2008(b).......................... 1,970,000
D C 1,000,000 Mariner Post-Acute Network, 9.50% due
11/01/2007(e).......................... 10,000
B+ B2 1,000,000 Quest Diagnostic Inc., 10.75% due
12/15/2006............................. 1,037,500
------------
5,430,000
---------------------------------------------------------------------------------------------------------------
HOTELS-1.8% BB Ba2 2,000,000 HMH Properties, Inc., Series B, 7.875%
due 8/01/2008.......................... 1,795,000
---------------------------------------------------------------------------------------------------------------
INDEPENDENT POWER B+ Ba3 2,000,000 The AES Corporation, 8.375% due
PRODUCERS-2.8% 8/15/2007.............................. 1,820,000
BB+ Ba1 1,000,000 Monterrey Power, SA de CV, 9.625% due
11/15/2009(b).......................... 920,000
------------
2,740,000
---------------------------------------------------------------------------------------------------------------
INDUSTRIAL-SERVICES-2.1% B B3 2,000,000 Anthony Crane Rental LP, 10.375% due
8/01/2008.............................. 1,285,000
B B3 1,000,000 Neff Corp., 10.25% due 6/01/2008........ 620,000
CCC+ Caa1 500,000 Thermadyne Holdings Corp., 12.50%** due
6/01/2008.............................. 180,000
------------
2,085,000
---------------------------------------------------------------------------------------------------------------
</TABLE>
34
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE VALUE
<S> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
---------------------------------------------------------------------------------------------------------------
MACHINERY-0.8% CCC+ B3 $1,000,000 Numatics Inc., 9.625% due 4/01/2008..... $ 800,000
---------------------------------------------------------------------------------------------------------------
METALS & MINING-2.3% CCC+ B3 500,000 Kaiser Aluminum & Chemical Corp., 12.75%
due 2/01/2003.......................... 458,750
B B2 2,000,000 P & L Coal Holdings Corp., 9.625% due
5/15/2008.............................. 1,855,000
------------
2,313,750
---------------------------------------------------------------------------------------------------------------
PACKAGING-7.9% B B2 1,500,000 Consolidated Container Company, 10.125%
due 7/15/2009.......................... 1,485,000
CCC+ Caa2 1,500,000 Indesco International, 9.75% due
4/15/2008.............................. 555,000
BB+ Ba1 1,250,000 Owens-Illinois Inc., 8.10% due
5/15/2007.............................. 1,154,785
B B3 1,000,000 Portola Packaging Inc., 10.75% due
10/01/2005............................. 875,000
B B1 1,000,000 Silgan Holdings, Inc., 9% due
6/01/2009.............................. 945,000
B- B3 1,500,000 Tekni-Plex Inc., 12.75% due
6/15/2010(b)........................... 1,500,000
B+ Ba3 500,000 Vicap SA, 11.375% due 5/15/2007......... 440,000
------------
6,954,785
---------------------------------------------------------------------------------------------------------------
PAPER & FOREST B Caa1 1,000,000 Doman Industries Limited, 8.75% due
PRODUCTS-3.3% 3/15/2004.............................. 770,000
CCC+ B3 1,000,000 Pindo Deli Financial Mauritius, 10.75%
due 10/01/2007......................... 600,000
BB+ Ba2 2,000,000 Tembec Industries, Inc., 8.625% due
6/30/2009.............................. 1,920,000
------------
3,290,000
---------------------------------------------------------------------------------------------------------------
PRINTING & BB- Ba3 750,000 Primedia, Inc., 7.625% due 4/01/2008.... 667,500
PUBLISHING-
0.7%
---------------------------------------------------------------------------------------------------------------
STEEL-1.5% B+ B2 2,000,000 Wheeling Pittsburgh Corp., 9.25% due
11/15/2007............................. 1,530,000
---------------------------------------------------------------------------------------------------------------
TELEPHONE-5.2% NR* NR* 500,000 Comtel Brasileira Ltd., 10.75% due
9/26/2004(b)........................... 475,000
B B3 2,000,000 Level 3 Communications Inc., 11.25% due
3/15/2010.............................. 1,970,000
B+ B2 1,750,000 Metromedia Fiber Network, 10% due
12/15/2009............................. 1,723,750
B B2 1,000,000 Time-Warner Telecom LLC, 9.75% due
7/15/2008.............................. 967,500
------------
5,136,250
---------------------------------------------------------------------------------------------------------------
TEXTILES-0.9% B- B3 1,000,000 Anvil Knitwear Inc., Series B, 10.875%
due 3/15/2007.......................... 880,000
---------------------------------------------------------------------------------------------------------------
TRANSPORTATION-5.7% BB- NR* 1,000,000 Autopistas del Sol SA, 10.25% due
8/01/2009(b)........................... 770,000
BB- B1 2,000,000 GS Superhighway Holdings, 10.25% due
8/15/2007.............................. 1,360,000
B NR* 1,000,000 MRS Logistica SA, 10.625% due
8/15/2005(b)........................... 785,000
BB- B1 1,000,000 Sea Containers Ltd., Series A, 12.50%
due 12/01/2004......................... 787,500
B- B2 2,000,000 Transtar Holdings LP, Series B,
11.376%** due 12/15/2003............... 1,982,500
------------
5,685,000
---------------------------------------------------------------------------------------------------------------
</TABLE>
35
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE VALUE
---------------------------------------------------------------------------------------------------------------
CORPORATE BONDS
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
UTILITIES-5.5% Azurix Corporation(b):
BB Ba3 $ 750,000 10.375% due 2/15/2007.................. $ 723,750
BB Ba3 1,000,000 10.75% due 2/15/2010................... 962,500
NR* NR* 1,000,000 CIA Saneamento Basico, 10% due
7/28/2005(b)(d)........................ 860,000
B+ B2 1,000,000 Espirito Santo-Escelsa, 10% due
7/15/2007.............................. 780,000
B+ NR* 1,000,000 Inversora de Electrica, 9% due
9/16/2004(b)........................... 400,000
BBB- B1 1,000,000 MetroGas SA, 12% due 8/15/2000.......... 1,000,000
BB Ba2 970,600 TransGas de Occidente SA, 9.79% due
11/01/2010(b)(d)....................... 701,259
------------
5,427,509
---------------------------------------------------------------------------------------------------------------
WASTE B+ B2 2,500,000 Allied Waste North America, 10% due
MANAGEMENT-2.1% 8/01/2009.............................. 2,087,500
---------------------------------------------------------------------------------------------------------------
WIRELESS B B3 1,000,000 Crown Castle International Corporation,
COMMUNICATIONS-
DOMESTIC PAGING & 9% due 5/15/2011....................... 922,500
CELLULAR-3.0% CCC+ B3 1,000,000 NEXTEL Partners Inc., 11% due
3/15/2010.............................. 995,000
B- B3 1,000,000 Spectrasite Holdings Inc., 10.75% due
3/15/2010.............................. 997,500
B- B2 1,000,000 Voicestream Wireless Company, 10.375%
due 11/15/2009......................... 1,035,000
------------
3,950,000
---------------------------------------------------------------------------------------------------------------
WIRELESS B- Caa1 1,995,000 McCaw International Ltd., 12.469%** due
COMMUNICATIONS- 4/15/2007.............................. 1,516,200
INTERNATIONAL-3.3%
B- Caa1 2,000,000 Millicom International Cellular,
3.116%** due 6/01/2006................. 1,720,000
------------
3,236,200
---------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN CORPORATE BONDS
(COST-$103,419,457)-88.1% 87,381,521
---------------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES
HELD COMMON STOCKS & WARRANTS
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
GAMING-0.0% 24,357 JCC Holding Company (Class A)(e)........ 19,790
---------------------------------------------------------------------------------------------------------------
SPECIALTY 3,846 Bradlees Inc. (Warrants)(c)............. 4,807
RETAILING-0.0%
---------------------------------------------------------------------------------------------------------------
SUPERMARKETS-0.0% 936 Grand Union Co. (Warrants)(c)........... 117
---------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATIONS-DOMESTIC 3,196 NEXTEL Communications, Inc.
PAGING & CELLULAR-0.2% (Class A)(e)........................... 195,555
---------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN COMMON STOCKS &
WARRANTS (COST-$1,147,613)-0.2% 220,269
---------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS
---------------------------------------------------------------------------------------------------------------
CABLE-DOMESTIC-1.6% 15,503 CSC Holdings Inc. (Series A)(a)(e)...... 1,631,691
---------------------------------------------------------------------------------------------------------------
ENERGY-0.3% 1,319 +Clark USA Inc. (a)(e).................. 263,800
---------------------------------------------------------------------------------------------------------------
FINANCIAL 40,000 California Federal Bank (Series A)...... 847,500
SERVICES-0.9%
---------------------------------------------------------------------------------------------------------------
</TABLE>
36
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
High Yield Portfolio
Schedule of Investments as of June 30, 2000 (Concluded) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
INDUSTRIES HELD ISSUE VALUE
---------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PRINTING & 7,500 Primedia, Inc. (Series H)(e)............ $ 645,000
PUBLISHING-0.6%
---------------------------------------------------------------------------------------------------------------
WIRELESS COMMUNICATIONS-DOMESTIC 722 NEXTEL Communications, Inc.
PAGING & CELLULAR-0.8% (Series D)(a)(e)....................... 772,540
---------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN PREFERRED STOCKS
(COST-$5,081,870)-4.2% 4,160,531
---------------------------------------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
---------------------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES
---------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER***-1.7% $1,693,000 General Motors Acceptance Corp., 7.13%
due 7/03/2000.......................... 1,691,994
---------------------------------------------------------------------------------------------------------------
US GOVERNMENT 3,767,000 Federal Home Loan Mortgage Corporation,
AGENCY OBLIGATIONS***-3.8% 6.37% due 7/05/2000.................... 3,763,667
---------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SHORT-TERM
SECURITIES (COST-$5,455,661)-5.5% 5,455,661
---------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(COST-$115,104,601)-98.0%............... 97,217,982
OTHER ASSETS LESS LIABILITIES-2.0%...... 2,009,469
------------
NET ASSETS-100.0%....................... $ 99,227,451
============
---------------------------------------------------------------------------------------------------------------
</TABLE>
* Not Rated.
** Represents a zero coupon or step bond; the interest rate shown reflects the
effective yield at the time of purchase by the Portfolio.
*** Commercial Paper and certain US Government Agency Obligations are traded on
a discount basis; the interest rates shown reflect the discount rates paid
at the time of purchase by the Portfolio.
+ Restricted securities as to resale.
<TABLE>
-------------------------------------------------------------------------------------------------------------
ISSUE ACQUISITION DATE COST VALUE
-------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Clark USA Inc............................................... 3/20/00 $1,209,111 $ 263,800
-------------------------------------------------------------------------------------------------------------
TOTAL $1,209,111 $ 263,800
========== ==========
-------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Represents a pay-in-kind security which may pay interest/dividends in
additional face/shares.
(b) The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
(c) Warrants entitle the Portfolio to purchase a predetermined number of shares
of common stock and are non-income producing. The purchase price and number
of shares are subject to adjustment under certain conditions until the
expiration date.
(d) Subject to principal paydowns.
(e) Non-income producing security.
(f) Represents an obligation by Jazz Casino Co. LLC to pay a semi-annual amount
to the Portfolio through 11/15/2009. The payments are based upon varying
interest rates and the amounts, which may be paid-in-kind, are contingent
upon the earnings before income taxes, depreciation and amortization of
Jazz Casino LLC on a fiscal year basis.
(g) Each $1,000 face amount contains one warrant of Australis Media Ltd.
See Notes to Financial Statements.
37
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of June 30, 2000 (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT ISSUE VALUE
-----------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY OBLIGATIONS
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSET-BACKED $ 3,000,000 Federal Home Loan Mortgage Corporation,
SECURITIES*-1.4% 6.56% due 3/25/2016..................................... $ 2,919,375
-----------------------------------------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES 2,919,375
-----------------------------------------------------------------------------------------------------------------
FEDERAL FARM CREDIT 15,000,000 Federal Farm Credit Bank, 6.875% due 5/01/2002.............. 14,981,250
BANK-7.2%
-----------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL FARM CREDIT BANK 14,981,250
-----------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank:
FEDERAL HOME LOAN
BANK-4.8%
4,000,000 6.75% due 2/01/2002..................................... 3,987,480
6,000,000 7.125% due 2/15/2005.................................... 6,052,440
-----------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL HOME LOAN BANK 10,039,920
-----------------------------------------------------------------------------------------------------------------
Federal National Mortgage Association:
FEDERAL NATIONAL
MORTGAGE
ASSOCIATION-4.6% 3,000,000 6.28% due 3/04/2009..................................... 2,773,590
4,000,000 6.625% due 9/15/2009.................................... 3,864,360
3,000,000 7.125% due 1/15/2030.................................... 3,022,020
-----------------------------------------------------------------------------------------------------------------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION 9,659,970
-----------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED Federal Home Loan Mortgage Corporation Participation
SECURITIES(a)-47.9% Certificates-Gold Program CMO(c):
6,000,000 7% due 1/15/2024........................................ 5,864,940
8,854,784 7% due 8/01/2029........................................ 8,557,095
32,176 7% due 1/01/2030........................................ 31,064
Federal National Mortgage Association:
57,825 9% due 1/01/2002........................................ 58,514
1,279,614 7.50% due 10/01/2027.................................... 1,266,012
609,289 7.50% due 11/01/2027.................................... 602,812
765,948 7.50% due 12/01/2027.................................... 756,712
3,230,756 7.50% due 4/01/2028..................................... 3,192,731
2,510,142 7.50% due 6/01/2028..................................... 2,478,807
62,181 7.50% due 7/01/2028..................................... 61,383
300,104 7.50% due 9/01/2028..................................... 296,251
1,013,033 7.50% due 11/01/2028.................................... 1,002,264
1,362,264 7% due 3/01/2029........................................ 1,315,195
1,608,584 7.50% due 3/01/2029..................................... 1,586,625
1,268,881 7% due 5/01/2029........................................ 1,225,480
4,261,223 7% due 6/01/2029........................................ 4,113,989
870,266 7% due 7/01/2029........................................ 840,196
1,297,407 7% due 8/01/2029........................................ 1,252,578
1,962,851 7% due 9/01/2029........................................ 1,895,031
36,589 7% due 10/01/2029....................................... 35,325
923,491 7% due 11/01/2029....................................... 891,582
3,376,341 7% due 12/01/2029....................................... 3,259,682
5,106,808 7% due 2/01/2030........................................ 4,929,324
349,974 7% due 3/01/2030........................................ 337,771
2,483,385 7% due 4/01/2030........................................ 2,397,318
Federal National Mortgage Association CMO(c):
4,000,000 Series 1992-110-J, 7% due 12/25/2006.................... 3,983,620
4,000,000 Series 1994-75-G, 6.85% due 10/25/2020.................. 3,968,240
5,500,000 Federal National Mortgage Association, Mortgage
Backed Securities-REMICs(b)-Multi-Family, 6.50%
due 10/25/2003............................................. 5,402,458
-----------------------------------------------------------------------------------------------------------------
</TABLE>
38
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Intermediate Government Bond Portfolio
Schedule of Investments as of June 30, 2000 (Concluded) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT ISSUE VALUE
-----------------------------------------------------------------------------------------------------------------
US GOVERNMENT & AGENCY OBLIGATIONS
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
MORTGAGE-BACKED Freddie Mac CMO(c):
SECURITIES $ 3,000,000 Series 1504-PM, 7% due 11/15/2006....................... $ 2,970,690
(CONCLUDED) 6,333,265 Series 2123-KA, 6.25% due 2/15/2027..................... 6,034,272
19,280,415 Series 2166-AC, 6.50% due 3/15/2026..................... 18,593,068
2,893,433 Series 2200-FB, 7.23% due 11/20/2023.................... 2,900,424
7,734,169 Series 2212-A, 7% due 10/15/2027........................ 7,572,138
-----------------------------------------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES 99,673,591
-----------------------------------------------------------------------------------------------------------------
PRIVATE EXPORT 7,000,000 Private Export Funding Co., 8.35% due 1/31/2001............. 7,060,340
FUNDING
CORPORATION-3.4%
-----------------------------------------------------------------------------------------------------------------
TOTAL PRIVATE EXPORT FUNDING CORPORATION 7,060,340
-----------------------------------------------------------------------------------------------------------------
TENNESSEE VALLEY Tennessee Valley Authority, Series E:
AUTHORITY-5.6% 5,000,000 6% due 9/24/2002........................................ 4,895,950
7,000,000 6.75% due 11/01/2025.................................... 6,764,730
-----------------------------------------------------------------------------------------------------------------
TOTAL TENNESSEE VALLEY AUTHORITY 11,660,680
-----------------------------------------------------------------------------------------------------------------
US Treasury Bonds:
US TREASURY BONDS &
NOTES-22.0% 8,000,000 12% due 5/15/2005....................................... 9,883,760
1,000,000 10.75% due 8/15/2005.................................... 1,192,030
2,000,000 8.875% due 8/15/2017.................................... 2,549,380
4,000,000 8.75% due 5/15/2020..................................... 5,134,360
9,000,000 6.625% due 2/15/2027.................................... 9,555,480
500,000 6.25% due 5/15/2030..................................... 524,610
US Treasury Notes:
6,500,000 6.75% due 5/15/2005..................................... 6,651,320
6,000,000 4.75% due 11/15/2008.................................... 5,448,720
5,000,000 6% due 8/15/2009........................................ 4,960,150
-----------------------------------------------------------------------------------------------------------------
TOTAL US TREASURY BONDS & NOTES 45,899,810
-----------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT & AGENCY OBLIGATIONS
(COST-$205,830,142)-96.9% 201,894,936
-----------------------------------------------------------------------------------------------------------------
SHORT-TERM SECURITIES
-----------------------------------------------------------------------------------------------------------------
REPURCHASE 4,654,000 Warburg Dillon Read LLC, purchased on 6/30/2000 to yield
AGREEMENTS**-2.2% 6.55% to 7/03/2000......................................... 4,654,000
-----------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES (COST-$4,654,000)-2.2% 4,654,000
-----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST-$210,484,142)-99.1%................. 206,548,936
OTHER ASSETS LESS LIABILITIES-0.9%.......................... 1,774,417
------------
NET ASSETS-100.0%........................................... $208,323,353
============
-----------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Mortgage-Backed Obligations are subject to principal paydowns as a result
of prepayments or refinancing of the underlying mortgage instrument. As a
result, the average life may be substantially less than the original
maturity.
(b) Real Estate Mortgage Investment Conduits (REMICS).
(c) Collateralized Mortgage Obligations (CMO).
* Subject to principal paydowns.
** Repurchase Agreements are fully collateralized by US Government & Agency
Obligations.
See Notes to Financial Statements.
39
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 2000 (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE VALUE
-----------------------------------------------------------------------------------------------------------------------
US GOVERNMENT OBLIGATIONS
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
US GOVERNMENT AGENCY NR* Aaa $ 400,000 Federal Home Loan Banks, 6.75% due
OBLIGATIONS-0.4% 5/01/2002........................ $ 398,564
-----------------------------------------------------------------------------------------------------------------------
US TREASURY BONDS & US Treasury Bonds:
NOTES-5.6% AAA Aaa 500,000 5.25% due 2/15/2029........... 443,750
AAA Aaa 750,000 6.125% due 8/15/2029.......... 757,500
US Treasury Notes:
AAA Aaa 2,000,000 6.625% due 3/31/2002.......... 2,005,320
AAA Aaa 750,000 5.50% due 1/31/2003........... 734,063
AAA Aaa 900,000 6.875% due 5/15/2006.......... 926,298
AAA Aaa 500,000 6.125% due 8/15/2007.......... 496,640
AAA Aaa 1,000,000 6.50% due 2/15/2010........... 1,034,220
------------
6,397,791
-----------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT OBLIGATIONS
(COST-6,777,102)-6.0% 6,796,355
-----------------------------------------------------------------------------------------------------------------------
<CAPTION>
CORPORATE BONDS & NOTES
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NR* Baa2 3,500,000 +Bistro Trust 1998-1000, 6.58% due
ASSET-BACKED & 3/26/2001........................ 3,424,890
COMMERCIAL
MORTGAGE-BACKED AAA Aaa 1,000,000 First Union-Chase Commercial
SECURITIES**-8.0% Mortgage, 1999-C2 A2, 6.645% due
4/15/2009........................ 946,543
AAA Aaa 1,000,000 The Money Store Home Equity Trust,
Series 1998-B, 6.225% due
9/15/2023***..................... 972,000
Morgan Stanley Capital I:
AAA Aaa 2,000,000 Series 1998-HF2, Class A2,
6.48% due 11/15/2030.......... 1,884,160
AAA Aaa 2,115,000 Series 1999-WF1, 6.21% due
9/15/2008..................... 1,961,345
------------
9,188,938
-----------------------------------------------------------------------------------------------------------------------
BANKING-14.5% A A2 1,000,000 Bank of New York
Company, Inc., 7.625% due
7/15/2002 1,006,640
A Aa3 2,000,000 First Interstate/Wells Fargo
Company, 9.90% due 11/15/2001.... 2,066,300
A A2 1,500,000 First National Bank of Boston,
7.375% due 9/15/2006............. 1,464,540
A- A2 1,000,000 First Union Corporation, 6.30% due
4/15/2028***..................... 909,680
A+ A1 1,000,000 Firstar Bank NA, 7.125% due
12/01/2009....................... 948,820
BBB+ A3 1,000,000 Great Western Bank, 9.875% due
6/15/2001........................ 1,020,960
A+ A2 1,000,000 HSBC USA Inc., 7% due 11/01/2006.. 955,210
BBB a1 2,000,000 KeyCorp Capital I, 7.519% due
7/01/2028***..................... 1,916,400
A- a1 1,000,000 Mellon Capital II, Series B,
7.995% due 1/15/2027............. 903,530
A A2 2,000,000 Mellon Financial Co., 6.875% due
3/01/2003........................ 1,963,460
NationsBank Corp.:
A Aa3 1,000,000 6.50% due 8/15/2003........... 975,380
A Aa3 1,500,000 7.75% due 8/15/2004........... 1,517,760
-----------------------------------------------------------------------------------------------------------------------
</TABLE>
40
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE VALUE
-----------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
BANKING BBB+ A3 $1,000,000 Washington Mutual Inc., 7.50% due
(CONCLUDED) 8/15/2006........................ $ 970,380
------------
16,619,060
-----------------------------------------------------------------------------------------------------------------------
FINANCIAL-SERVICES A A2 1,500,000 Bear Stearns Companies, Inc.,
OTHER-10.7% 7.625% due 2/01/2005............. 1,483,680
A aa3 2,000,000 Citigroup Capital II, 7.75% due
12/01/2036....................... 1,761,400
A- A3 1,000,000 Donaldson, Lufkin & Jenrette Inc.,
6.875% due 11/01/2005............ 961,830
BBB+ A3 1,000,000 ERP Operating LP, 7.125% due
10/15/2017....................... 860,200
AAA Aaa 500,000 General Electric Capital Corp.,
7.375% due 1/19/2010............. 506,030
A+ A1 1,500,000 Goldman Sachs Group Inc., 7.50%
due 1/28/2005.................... 1,488,645
Lehman Brothers Holdings, Inc.:
A A3 500,000 7.625% due 6/01/2006.......... 488,100
A A3 700,000 8.25% due 6/15/2007........... 699,517
Morgan Stanley, Dean Witter, Corp.
AA- Aa3 1,000,000 7.125% due 1/15/2003.......... 993,590
AA- Aa3 1,000,000 7.75% due 6/15/2005........... 1,006,910
A Aa3 2,000,000 Salomon Smith Barney
Holdings, Inc., 7.20% due
2/01/2004........................ 1,979,520
------------
12,229,422
-----------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- Ford Motor Credit Company:
CAPTIVE-2.6% A A2 500,000 6.928% due 8/27/2006**........ 499,670
A A2 2,500,000 7.875% due 6/15/2010.......... 2,499,550
------------
2,999,220
-----------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES- A+ Aa3 1,000,000 Associate Corporation of North
CONSUMER-4.8% America, 7.40% due 5/15/2006..... 987,790
BBB+ Baa1 2,000,000 Comdisco Inc., 6% due 1/30/2002... 1,911,760
A- A3 1,000,000 Heller Financial Inc., 7.375% due
11/01/2009....................... 941,055
Household Finance Corp.,
A A2 625,000 7.625% due 1/15/2003.......... 623,150
A A2 1,000,000 7.875% due 3/01/2007.......... 996,120
------------
5,459,875
-----------------------------------------------------------------------------------------------------------------------
</TABLE>
41
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE VALUE
-----------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INDUSTRIAL- A+ A1 $2,000,000 Anheuser-Busch Companies Inc.,
CONSUMER-6.9% 7.50% due 3/15/2012.............. $ 1,992,840
A A2 773,041 +Disney Custom Repackaged Asset
Vehicle-403, 6.85% due
1/10/2007**...................... 763,996
AA Aa3 1,000,000 Eli Lilly and Company, 8.375% due
12/01/2006....................... 1,063,920
A+ A1 500,000 Hershey Foods Co., 8.80% due
2/15/2021........................ 546,160
AAA Aaa 2,000,000 Johnson & Johnson, 8.72% due
11/01/2024....................... 2,151,780
A+ A1 1,000,000 May Department Stores Company,
7.875% due 3/01/2030............. 969,000
AA Aa2 410,000 McDonald's Corporation, 6.375% due
1/08/2028........................ 352,190
Phillip Morris Companies, Inc.:
A A2 500,000 7.25% due 1/15/2003........... 488,105
A A2 1,690,000 7.50% due 4/01/2004........... 1,631,830
------------
9,959,821
-----------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- BBB Baa1 1,000,000 Amerada Hess Corporation, 7.375%
ENERGY-2.3% due 10/01/2009................... 971,890
A- A3 850,000 Burlington Resources, 7.375% due
3/01/2029........................ 788,511
A- A3 1,000,000 Conoco Inc., 6.95% due 4/15/2029.. 909,040
------------
2,669,441
-----------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- DaimlerChrysler NA Holdings:
MANUFACTURING-4.5% A+ A1 2,000,000 7.20% due 9/01/2009........... 1,925,380
A+ A1 1,000,000 7.45% due 3/01/2027........... 959,530
A A1 1,000,000 Dow Chemical Company, 7.375% due
11/01/2029....................... 969,570
AA- Aa2 725,000 Hewlett-Packard Company, 7.15% due
6/15/2005........................ 726,327
A+ A1 1,000,000 Motorola Inc., 7.50% due
5/15/2025........................ 998,300
A+ A2 500,000 United Technologies Corporation,
6.625% due 11/15/2004............ 491,125
------------
6,070,232
-----------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- A A2 1,000,000 First Data Corporation, 6.75% due
OTHER-2.5% 7/15/2005........................ 952,590
AA- A2 1,000,000 TCI Communications Inc., 8.75% due
8/01/2015........................ 1,069,260
------------
2,021,850
-----------------------------------------------------------------------------------------------------------------------
INDUSTRIAL- BBB Baa2 1,000,000 Comcast Cable Communications,
SERVICES-4.3% 8.875% due 5/01/2017............. 1,082,780
A A2 2,000,000 Computer Sciences Corp., 6.25% due
3/15/2009........................ 1,752,160
------------
2,834,940
-----------------------------------------------------------------------------------------------------------------------
Southwest Airlines Co.:
TRANSPORT
SERVICES-2.5% A- A3 2,000,000 9.40% due 7/01/2001........... 2,027,580
A- A3 1,000,000 7.375% due 3/01/2027.......... 855,560
------------
2,883,140
-----------------------------------------------------------------------------------------------------------------------
</TABLE>
42
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE VALUE
-----------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
UTILITIES- AA- A1 $1,000,000 AT&T Corporation, 6% due
COMMUNICATION-8.4% 3/15/2009........................ $ 889,210
AA- Aa3 1,000,000 Ameritech Capital Funding, 6.45%
due 1/15/2018.................... 859,590
A+ Aa3 2,000,000 GTE California, Inc., 8.07% due
4/15/2024........................ 1,874,960
A+ A2 2,000,000 GTE Corp., 9.375% due 12/01/2000.. 2,018,700
AA- Aa2 1,000,000 Southwestern Bell
Telecommunications Corp., 6.375%
due 11/15/2007................... 924,840
BBB+ Baa1 1,000,000 Sprint Capital Corporation, 6.125%
due 11/15/2008................... 891,370
A- A2 1,000,000 +Vodafone Airtouch PLC, 7.875% due
2/15/2030........................ 978,727
A- A3 1,000,000 Worldcom Inc., 8.25% due
5/15/2010........................ 1,025,810
------------
9,463,207
-----------------------------------------------------------------------------------------------------------------------
UTILITIES- AAA Aaa 750,000 Cleveland Electric/Toledo Edison,
ELECTRIC-8.3% Series B, 7.13% due 7/01/2007.... 720,570
A+ A1 785,000 Consolidated Edison, Inc., Series
1998-A, 6.25% due 2/01/2008...... 719,507
A A3 1,000,000 Duke Capital Corp., 7.50% due
10/01/2009....................... 985,160
A A1 1,000,000 Mississippi Power Series B, 6.05%
due 5/01/2003.................... 965,910
PG&E Corp.:
AA- A1 1,500,000 6.25% due 8/01/2003........... 1,449,720
AA- A1 1,500,000 7.25% due 8/01/2026........... 1,311,180
A- A3 1,000,000 Pennsylvania Power & Light Co.,
6.125% due 5/01/2006***.......... 989,640
A A1 2,000,000 South Carolina Electric & Gas,
7.50% due 6/15/2005.............. 2,005,480
AAA Aaa 300,000 Texas Utilities Company Series B,
6.375% due 10/01/2004............ 285,477
------------
9,432,644
-----------------------------------------------------------------------------------------------------------------------
YANKEE CORPORATES-8.6% BBB Baa3 1,000,000 AT&T Canada Inc., 7.65% due
9/15/2006........................ 994,350
A- A3 1,000,000 BHP Finance USA, 8.50% due
12/01/2012....................... 1,034,810
AAA Aaa 1,000,000 Banco Santander-Chile, 6.50% due
11/01/2005....................... 955,518
A- A3 1,000,000 +Israel Electric Corp. Ltd., 7.75%
due 3/01/2009.................... 967,724
Merita Bank Ltd.:
A- A1 1,500,000 6.50% due 1/15/2006........... 1,416,135
A- A1 1,750,000 6.50% due 4/01/2009........... 1,589,508
A+ Aa3 1,000,000 Midland Bank PLC, 7.65% due
5/01/2025........................ 990,720
A- A2 2,000,000 Trans-Canada Pipelines, 6.49% due
1/21/2009........................ 1,835,760
------------
9,784,525
-----------------------------------------------------------------------------------------------------------------------
YANKEE SOVEREIGNS-0.9% BB+ Baa3 1,000,000 United Mexican States, 9.875% due
2/01/2010........................ 1,035,000
-----------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES
(COST-$107,583,528)-89.8% 102,651,315
-----------------------------------------------------------------------------------------------------------------------
</TABLE>
43
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Long Term Corporate Bond Portfolio
Schedule of Investments as of June 30, 2000 (Concluded) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MOODY'S FACE
INDUSTRIES RATINGS RATINGS AMOUNT ISSUE VALUE
-----------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
REPURCHASE $2,850,000 Warburg Dillon Read LLC, purchased
AGREEMENTS****-2.5% on 6/30/2000 to yield 6.55% to
7/03/2000........................ $ 2,850,000
-----------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(COST-$2,850,000)-2.5% 2,850,000
-----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(COST-$117,210,630)-98.3%......... 112,297,670
OTHER ASSETS
LESS LIABILITIES-1.7%............ 1,959,436
------------
NET ASSETS-100.0%................. $114,257,106
============
-----------------------------------------------------------------------------------------------------------------------
</TABLE>
* Not Rated.
** Subject to principal paydowns.
*** Floating rate note.
**** Repurchase Agreements are fully collateralized by US Government & Agency
Obligations.
+ The security may be offered and sold to "qualified institutional buyers"
under Rule 144A of the Securities Act of 1933.
See Notes to Financial Statements.
44
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of June 30, 2000 (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE INTEREST MATURITY
AMOUNT ISSUE RATE* DATE VALUE
<S> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------------------
BANK NOTES-6.9% $ 5,000,000 American Express Centurion Bank+............... 6.75 % 7/13/2000 $ 5,000,000
15,000,000 Bank of America NA+............................ 6.65 6/06/2001 14,997,361
6,000,000 Bank of America NA............................. 7.10 6/21/2001 5,980,992
5,000,000 First USA Bank NA+............................. 6.215 10/18/2000 4,986,690
5,000,000 First Union National Bank+..................... 6.87 8/28/2000 5,000,474
-----------------------------------------------------------------------------------------------------------------------------
TOTAL BANK NOTES (COST-$35,996,885) 35,965,517
-----------------------------------------------------------------------------------------------------------------------------
CERTIFICATE OF 8,000,000 SouthTrust Bank, N.A........................... 6.86 12/19/2000 7,996,872
DEPOSIT-1.5%
-----------------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATE OF DEPOSIT (COST-$8,000,363) 7,996,872
-----------------------------------------------------------------------------------------------------------------------------
CERTIFICATE OF 5,000,000 Bayerische Hypo-und-Vereinsbank AG, NY......... 6.93 12/27/2000 4,999,245
DEPOSIT-
EUROPE-1.0%
-----------------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATE OF DEPOSIT-EUROPE
(COST-$4,999,431) 4,999,245
-----------------------------------------------------------------------------------------------------------------------------
CERTIFICATE OF 5,000,000 Bank of Nova Scotia, NY........................ 6.74 3/14/2001 4,984,385
DEPOSIT- 4,800,000 Bayerische Landesbank Girozentrale, NY......... 6.61 3/07/2001 4,782,427
YANKEE - 4.3% 5,000,000 Commerzbank AG, NY............................. 6.76 3/27/2001 4,985,985
5,000,000 Svenska Handelsbanken AB, NY................... 6.65 3/06/2001 4,983,035
2,750,000 Unibank A/S, NY................................ 6.81 4/17/2001 2,742,930
-----------------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATE OF DEPOSIT-YANKEE
(COST-$22,541,323) 22,478,762
-----------------------------------------------------------------------------------------------------------------------------
COMMERCIAL 5,000,000 AT&T Corp.+.................................... 6.706 8/07/2000 5,000,000
PAPER-47.3% 10,000,000 AT&T Corp.+.................................... 6.566 3/08/2001 9,998,680
9,000,000 Amsterdam Funding Corp......................... 6.60 7/26/2000 8,961,428
14,058,000 Bear Stearns Companies, Inc.................... 6.60 9/07/2000 13,880,630
10,000,000 Bear Stearns Companies, Inc.................... 6.60 9/14/2000 9,860,980
2,641,000 CIT Group Holdings, Inc. (The)................. 6.60 7/25/2000 2,630,348
10,000,000 CXC Incorporated............................... 6.60 9/19/2000 9,851,800
10,000,000 Caterpillar Financial Services Corp............ 6.10 8/17/2000 9,918,235
10,000,000 Clipper Receivables Corp....................... 6.59 8/10/2000 9,930,439
2,607,000 Clipper Receivables Corp....................... 6.60 9/11/2000 2,572,194
10,366,000 Clipper Receivables Corp....................... 6.60 9/15/2000 10,219,995
15,000,000 Corporate Asset Funding Co., Inc............... 6.61 7/17/2000 14,961,442
8,017,000 Edison Asset Securitization, LLC............... 6.62 7/10/2000 8,006,680
3,140,000 Eureka Securitization Inc...................... 6.59 7/07/2000 3,137,701
4,127,000 General Electric Capital Corp.................. 6.60 7/10/2000 4,121,704
4,635,000 Kitty Hawk Funding Corp........................ 6.60 9/11/2000 4,573,118
7,500,000 Kitty Hawk Funding Corp........................ 6.62 9/11/2000 7,399,868
9,639,000 Knight-Ridder, Inc............................. 6.59 9/01/2000 9,527,988
12,000,000 Lehman Brothers Holdings Inc................... 6.17 8/17/2000 11,901,882
6,000,000 Lehman Brothers Holdings Inc................... 6.15 8/18/2000 5,949,841
9,000,000 Lehman Brothers Holdings Inc................... 6.17 8/18/2000 8,924,761
2,478,000 Morgan Stanley, Dean Witter & Co............... 6.59 9/05/2000 2,447,644
26,317,000 New Center Asset Trust......................... 6.60 7/17/2000 26,249,453
5,000,000 Salomon, Smith Barney Holdings, Inc............ 6.58 7/17/2000 4,987,206
13,217,000 Salomon, Smith Barney Holdings, Inc............ 6.60 9/21/2000 13,016,273
580,000 UBS Finance (Delaware), Inc.................... 6.96 7/03/2000 580,000
9,500,000 UBS Finance (Delaware), Inc.................... 6.60 9/05/2000 9,383,625
20,572,000 Variable Funding Capital Corp.................. 6.63 9/21/2000 20,259,573
-----------------------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (COST-$248,330,441) 248,253,488
-----------------------------------------------------------------------------------------------------------------------------
CORPORATE 5,000,000 SMM Trust, 1999-H+............................. 6.321 9/25/2000 5,000,000
NOTES-1.0%
-----------------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE NOTES (COST-$5,000,000) 5,000,000
-----------------------------------------------------------------------------------------------------------------------------
</TABLE>
45
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Money Reserve Portfolio
Schedule of Investments as of June 30, 2000 (Concluded) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE INTEREST MATURITY
AMOUNT ISSUE RATE* DATE VALUE
<S> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------------------
FUNDING $ 3,000,000 GE Life and Annuity Assurance Co............... 6.721% 9/01/2000 $ 3,000,000
AGREEMENTS-4.2% 9,000,000 Jackson National Life Insurance Co............. 6.691 5/01/2001 9,000,000
5,000,000 Monumental Life Insurance Company.............. 6.786 11/17/2000 5,000,000
5,000,000 The Travelers Insurance Company................ 6.671 2/01/2001 5,000,000
-----------------------------------------------------------------------------------------------------------------------------
TOTAL FUNDING AGREEMENTS (COST-$22,000,000) 22,000,000
-----------------------------------------------------------------------------------------------------------------------------
MEDIUM-TERM 5,000,000 American Honda Finance Corp.+.................. 6.693 11/07/2000 4,999,755
NOTES-18.9% 10,000,000 Associates Corporation of North America+....... 6.55 3/16/2001 9,992,911
3,000,000 The CIT Group Holdings, Inc.+.................. 6.80 9/15/2000 2,999,408
5,000,000 The CIT Group Holdings, Inc.+.................. 6.605 4/24/2001 4,997,241
7,000,000 Ford Motor Credit Company+..................... 6.77 10/02/2000 7,000,497
4,000,000 General Motors Acceptance Corp.+............... 6.253 7/20/2000 3,999,934
3,000,000 General Motors Acceptance Corp.+............... 5.75 7/28/2000 2,997,894
3,000,000 General Motors Acceptance Corp.+............... 6.83 9/01/2000 3,000,118
5,000,000 General Motors Acceptance Corp.+............... 6.28 10/06/2000 4,999,950
2,000,000 General Motors Acceptance Corp.+............... 6.99 12/01/2000 2,001,018
2,000,000 General Motors Acceptance Corp.+............... 6.858 2/27/2001 1,999,568
2,000,000 Goldman Sachs Group, Inc....................... 6.00 8/07/2000 1,999,501
10,000,000 Goldman Sachs Group, Inc....................... 6.55 12/22/2000 10,000,000
1,200,000 Goldman Sachs Group, Inc.+..................... 6.40 7/13/2001 1,200,000
5,000,000 Household Finance Corp.+....................... 7.049 6/04/2001 4,993,110
8,000,000 Household Finance Corp.+....................... 6.715 7/20/2001 7,996,160
5,000,000 Morgan Stanley, Dean Witter & Co.+............. 6.43 1/22/2001 5,002,715
10,000,000 Morgan Stanley, Dean Witter & Co.+............. 6.781 1/22/2001 10,001,570
6,000,000 Norwest Financial Inc.+........................ 6.643 9/07/2000 5,999,361
3,000,000 Xerox Corp..................................... 5.70 7/26/2000 2,998,591
-----------------------------------------------------------------------------------------------------------------------------
TOTAL MEDIUM-TERM NOTES (COST-$99,190,926) 99,179,302
-----------------------------------------------------------------------------------------------------------------------------
PROMISSORY 10,000,000 Goldman Sachs Group, Inc.+..................... 6.711 8/04/2000 10,000,000
NOTES-1.9%
-----------------------------------------------------------------------------------------------------------------------------
TOTAL PROMISSORY NOTES (COST-$10,000,000) 10,000,000
-----------------------------------------------------------------------------------------------------------------------------
US GOVERNMENT, 1,000,000 Federal Home Loan Mortgage Corporation......... 5.05 11/17/2000 993,717
AGENCY & 1,700,000 Federal Home Loan Mortgage Corporation......... 5.18 11/24/2000 1,689,610
INSTRUMENTALITY 2,900,000 Federal Home Loan Mortgage Corporation......... 5.25 1/19/2001 2,876,191
OBLIGATIONS-NON- 2,800,000 Federal National Mortgage Association.......... 5.07 12/14/2000 2,779,238
DISCOUNT-12.4% 10,000,000 Federal National Mortgage Association+......... 6.144 9/17/2001 9,990,753
9,500,000 Federal National Mortgage Association+......... 6.354 4/19/2002 9,500,000
15,000,000 Student Loan Marketing Association+............ 6.494 9/29/2000 14,999,320
15,000,000 Student Loan Marketing Association+............ 6.364 8/23/2001 14,993,454
900,000 US Treasury Notes.............................. 4.50 9/30/2000 896,062
800,000 US Treasury Notes.............................. 4.625 11/30/2000 794,250
2,900,000 US Treasury Notes.............................. 4.625 12/31/2000 2,873,717
2,900,000 US Treasury Notes.............................. 4.50 1/31/2001 2,867,375
-----------------------------------------------------------------------------------------------------------------------------
TOTAL US GOVERNMENT, AGENCY &
INSTRUMENTALITY OBLIGATIONS-NON-DISCOUNT
(COST-$65,384,077) 65,253,687
-----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST-$521,443,446)-99.4%.... 521,126,873
OTHER ASSETS LESS LIABILITIES-0.6%............. 3,270,697
------------
NET ASSETS-100.0%.............................. $524,397,570
============
-----------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commercial Paper and certain US Government, Agency & Instrumentality
Obligations are traded on a discount basis; the interest rates shown reflect
the discount rates paid at the time of purchase by the Portfolio. Other
securities bear interest at the rates shown payable at fixed rates or upon
maturity. Interest rates on variable securities are adjusted periodically
based on appropriate indexes. The interest rates shown are the rates in effect
at June 30, 2000.
+ Variable Rate Notes.
See Notes to Financial Statements.
46
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 2000 (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
COUNTRIES INDUSTRIES HELD COMMON STOCKS VALUE
<S> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------------------
AUSTRALIA MEDIA & 107,300 The News Corporation Limited
COMMUNICATIONS (Convertible Preferred)
(ADR)(a)..................... $ 5,096,750
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN
AUSTRALIA 5,096,750
------------------------------------------------------------------------------------------------------------------------------
BRAZIL OIL-INTEGRATED 104,000 Petroleo Brasileiro SA....... 3,054,279
------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 160,600 Embratel Participacoes SA
(ADR)(a)..................... 3,794,175
1,920 Tele Norte Leste
Participacoes SA (ADR)(a).... 45,360
--------------
3,839,535
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN BRAZIL 6,893,814
------------------------------------------------------------------------------------------------------------------------------
CANADA COMMUNICATION 415,526 Nortel Networks Corporation.. 28,359,649
EQUIPMENT
------------------------------------------------------------------------------------------------------
COMPUTER TECHNOLOGY 147,500 +ATI Technologies Inc........ 1,244,348
------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 43,000 BCE Inc...................... 1,023,938
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN CANADA 30,627,935
------------------------------------------------------------------------------------------------------------------------------
CHINA INTERNET CONTENT 26,000 +China.Com Corporation 'A'... 529,750
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN CHINA 529,750
------------------------------------------------------------------------------------------------------------------------------
FINLAND COMMUNICATION 63,200 Nokia Oyj.................... 3,238,189
EQUIPMENT
------------------------------------------------------------------------------------------------------
COMPUTER SOFTWARE 41,400 +Stonesoft Oyj............... 658,788
18,800 Tietoenator Oyj.............. 629,858
--------------
1,288,646
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN
FINLAND 4,526,835
------------------------------------------------------------------------------------------------------------------------------
FRANCE CHEMICALS 61,300 Aventis SA................... 4,492,369
------------------------------------------------------------------------------------------------------
CONSUMER- 12,200 Christian Dior SA............ 2,777,544
MISCELLANEOUS
------------------------------------------------------------------------------------------------------
ELECTRONICS 62,800 Thomson CSF.................. 2,483,855
------------------------------------------------------------------------------------------------------
INFORMATION PROCESSING 6,200 Cap Gemini SA................ 1,096,543
------------------------------------------------------------------------------------------------------
INSURANCE 29,000 Axa.......................... 4,586,901
------------------------------------------------------------------------------------------------------
MULTIMEDIA 64,200 +Thomson Multimedia.......... 4,172,556
------------------------------------------------------------------------------------------------------
OIL-INTEGRATED 7 Elf Aquitaine SA............. 1,439
27,759 Total Fina SA 'B'............ 4,273,530
--------------
4,274,969
------------------------------------------------------------------------------------------------------
SEMICONDUCTORS 111,000 STMicroelectronics NV (NY
Registered Shares)........... 7,124,813
------------------------------------------------------------------------------------------------------
TELEPHONE-INTEGRATED 24,800 France Telecom SA............ 3,480,408
------------------------------------------------------------------------------------------------------
UTILITIES 43,900 Vivendi...................... 3,890,531
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN FRANCE 38,380,489
------------------------------------------------------------------------------------------------------------------------------
GERMANY BANKING 52,000 Deutsche Bank AG (Registered
Shares)...................... 4,306,798
------------------------------------------------------------------------------------------------------
ELECTRONICS COMPONENTS 18,100 +Epcos AG.................... 1,828,760
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN
GERMANY 6,135,558
------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
PERCENT OF
COUNTRIES NET ASSETS
<S> <C>
---------------------
AUSTRALIA
0.4%
---------------------
0.4
---------------------
BRAZIL 0.2
-----------
0.3
0.0
-----
0.3
---------------------
0.5
---------------------
CANADA 2.0
-----------
0.1
-----------
0.1
---------------------
2.2
---------------------
CHINA 0.0
---------------------
0.0
---------------------
FINLAND 0.2
-----------
0.1
0.0
-----
0.1
---------------------
0.3
---------------------
FRANCE 0.3
-----------
0.2
-----------
0.2
-----------
0.1
-----------
0.3
-----------
0.3
-----------
0.0
0.3
-----
0.3
-----------
0.5
-----------
0.2
-----------
0.3
---------------------
2.7
---------------------
GERMANY
0.3
-----------
0.1
---------------------
0.4
---------------------
</TABLE>
47
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
COUNTRIES INDUSTRIES HELD COMMON STOCKS VALUE
<S> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------------------
HONG KONG ELECTRONICS 33,600 +Gemstar International Group
Limited...................... $ 2,064,300
------------------------------------------------------------------------------------------------------
MULTI-INDUSTRY 189,420 Hutchison Whampoa Limited.... 2,381,327
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN HONG
KONG 4,445,627
------------------------------------------------------------------------------------------------------------------------------
IRELAND BANKING 358,300 Bank of Ireland.............. 2,251,422
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN
IRELAND 2,251,422
------------------------------------------------------------------------------------------------------------------------------
ITALY OIL-INTEGRATED 513,000 ENI SpA...................... 2,975,159
------------------------------------------------------------------------------------------------------
PUBLISHING 98,350 +Mondadori (Arnoldo) Editore
SpA.......................... 2,253,252
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN ITALY 5,228,411
------------------------------------------------------------------------------------------------------------------------------
JAPAN APPLIANCES 37,400 Sony Corporation (ADR)(a).... 3,527,288
------------------------------------------------------------------------------------------------------
COMPUTER SOFTWARE 13,700 +Internet Initiative Japan
Inc. (ADR)(a)................ 810,013
------------------------------------------------------------------------------------------------------
COMPUTERS 209,000 NEC Corporation.............. 6,577,855
------------------------------------------------------------------------------------------------------
DISTRIBUTION 5,800 Softbank Corp................ 789,377
------------------------------------------------------------------------------------------------------
DIVERSIFIED 121,000 Olympus Optical Co., Ltd..... 2,174,009
------------------------------------------------------------------------------------------------------
ELECTRONICS 102,000 Fujitsu Limited.............. 3,538,018
260,000 Hitachi Ltd.................. 3,759,747
7,260 Keyence Corporation.......... 2,401,588
35,000 Kyocera Corporation.......... 5,951,042
135,000 Matsushita Electric
Industrial Company, Ltd...... 3,508,813
8,000 Murata Manufacturing Co.,
Ltd.......................... 1,150,796
19,000 Rohm Company Ltd............. 5,566,845
28,000 TDK Corporation.............. 4,033,080
--------------
29,909,929
------------------------------------------------------------------------------------------------------
FINANCE 28,800 Orix Corporation............. 4,259,912
------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 64,000 Takeda Chemical Industries,
Ltd.......................... 4,210,009
84,000 Yamanouchi Pharmaceutical
Co., Ltd..................... 4,596,758
--------------
8,806,767
------------------------------------------------------------------------------------------------------
TELEPHONE-INTEGRATED 182 NTT Mobile Communications
Network, Inc................. 4,936,818
232 Nippon Telegraph & Telephone
Corporation (NTT)............ 3,091,725
--------------
8,028,543
------------------------------------------------------------------------------------------------------
TRANSPORT SERVICES 518 East Japan Railway Company... 3,015,812
------------------------------------------------------------------------------------------------------
UTILITIES-ELECTRIC 111,000 Tokyo Electric Power......... 2,711,923
------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN JAPAN 70,611,428
------------------------------------------------------------------------------------------------------------------------------
NETHERLANDS ELECTRONIC COMPONENTS 80,300 +ASM Lithography Holding NV.. 3,465,441
------------------------------------------------------------------------------------------------------
ELECTRONICS 103,200 Koninklijke (Royal) Philips
Electronics NV (NY Registered
Shares)...................... 4,902,000
------------------------------------------------------------------------------------------------------
FOOD 176,900 CSM NV....................... 3,493,273
------------------------------------------------------------------------------------------------------
PUBLISHING 71,400 VNU NV....................... 3,702,823
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THE
NETHERLANDS 15,563,537
------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
PERCENT OF
COUNTRIES NET ASSETS
<S> <C>
---------------------
HONG KONG
0.1%
-----------
0.2
---------------------
0.3
---------------------
IRELAND 0.2
---------------------
0.2
---------------------
ITALY 0.2
-----------
0.2
---------------------
0.4
---------------------
JAPAN 0.2
-----------
0.1
-----------
0.5
-----------
0.1
-----------
0.1
-----------
0.2
0.3
0.2
0.4
0.2
0.1
0.4
0.3
-----
2.1
-----------
0.3
-----------
0.3
0.3
-----
0.6
-----------
0.4
0.2
-----
0.6
-----------
0.2
-----------
0.2
-----------
5.0
---------------------
NETHERLANDS 0.2
-----------
0.4
-----------
0.2
-----------
0.3
---------------------
1.1
---------------------
</TABLE>
48
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
COUNTRIES INDUSTRIES HELD COMMON STOCKS VALUE
<S> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------------------
SINGAPORE ELECTRONICS COMPONENTS 29,600 +Flextronics International
Ltd.......................... $ 2,033,150
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN
SINGAPORE 2,033,150
------------------------------------------------------------------------------------------------------------------------------
SOUTH KOREA ELECTRONICS 12,400 Samsung Electronics.......... 4,103,585
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SOUTH
KOREA 4,103,585
------------------------------------------------------------------------------------------------------------------------------
SPAIN OIL-INTEGRATED 149,400 Repsol-YPF, SA............... 2,986,029
------------------------------------------------------------------------------------------------------
TELEPHONE-INTEGRATED 212,800 +Telefonica SA............... 4,589,777
------------------------------------------------------------------------------------------------------
UTILITIES 132,000 Endesa SA.................... 2,567,399
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SPAIN 10,143,205
------------------------------------------------------------------------------------------------------------------------------
SWEDEN PUBLISHING 203,400 Fastighets AB Tornet......... 2,678,452
------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 164,000 +Telia AB.................... 1,551,933
------------------------------------------------------------------------------------------------------
TELEPHONE-INTEGRATED 385,940 Telefonaktiebolaget LM
Ericsson AB 'B'.............. 7,678,318
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN SWEDEN 11,908,703
------------------------------------------------------------------------------------------------------------------------------
SWITZERLAND DRUGS 1,100 Novartis AG (Registered
Shares)...................... 1,747,986
------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 312 +Givaudan (Registered)....... 95,264
312 Roche Holding AG (Genuss).... 3,046,897
--------------
3,142,161
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN
SWITZERLAND 4,890,147
------------------------------------------------------------------------------------------------------------------------------
TAIWAN SEMICONDUCTORS 515,840 +Taiwan Semiconductor
Manufacturing Company........ 2,445,216
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN TAIWAN 2,445,216
------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM BANKING 145,000 Barclays PLC................. 3,606,640
------------------------------------------------------------------------------------------------------
BEVERAGES 320,000 Diageo PLC................... 2,872,777
------------------------------------------------------------------------------------------------------
BUILDING & 373,000 Hanson PLC................... 2,637,078
CONSTRUCTION
------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 33,200 Logica PLC................... 786,090
------------------------------------------------------------------------------------------------------
DRUGS 74,200 AstraZeneca Group PLC........ 3,465,423
------------------------------------------------------------------------------------------------------
MANUFACTURING 943,000 Invensys PLC................. 3,540,467
------------------------------------------------------------------------------------------------------
OIL-INTEGRATED 260,000 BP Amoco PLC................. 2,495,513
129,200 Shell Transport & Trading
Company (ADR)(a)............. 6,451,925
--------------
8,947,438
------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 96,900 Glaxo Wellcome PLC........... 2,826,849
216,200 SmithKline Beecham PLC....... 2,831,190
--------------
5,658,039
------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS 163,800 Cable & Wireless PLC......... 2,774,861
1,859,466 Vodafone AirTouch PLC........ 7,516,172
--------------
10,291,033
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THE
UNITED KINGDOM 41,804,985
------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
PERCENT OF
COUNTRIES NET ASSETS
<S> <C>
---------------------
SINGAPORE
0.2%
---------------------
0.2
---------------------
SOUTH KOREA 0.3
---------------------
0.3
---------------------
SPAIN 0.2
-----------
0.3
-----------
0.2
---------------------
0.7
---------------------
SWEDEN 0.2
-----------
0.1
-----------
0.6
---------------------
0.9
---------------------
SWITZERLAND
0.1
-----------
0.0
0.2
-----
0.2
---------------------
0.3
---------------------
TAIWAN
0.2
---------------------
0.2
---------------------
UNITED KINGDOM 0.3
-----------
0.2
-----------
0.2
-----------
0.1
-----------
0.2
-----------
0.3
-----------
0.2
0.4
-----
0.6
-----------
0.2
0.2
-----
0.4
-----------
0.2
0.5
-----
0.7
---------------------
3.0
---------------------
</TABLE>
49
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
COUNTRIES INDUSTRIES HELD COMMON STOCKS VALUE
<S> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------------------
UNITED STATES AEROSPACE 66,000 The Boeing Company........... $ 2,759,625
------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE 93,541 United Technologies
Corporation.................. 5,507,226
------------------------------------------------------------------------------------------------------
APPAREL 67,900 The Gap, Inc................. 2,121,875
------------------------------------------------------------------------------------------------------
APPLICATION 32,520 +Siebel Systems, Inc. ....... 5,319,052
DEVELOPMENT SOFTWARE
------------------------------------------------------------------------------------------------------
AUTOMOTIVE PRODUCTS 14,100 +General Motors Corporation
(Class H).................... 1,237,275
------------------------------------------------------------------------------------------------------
BANKING 134,758 Bank of America Corporation.. 5,794,594
252,600 The Bank of New York
Company, Inc. ............... 11,745,900
92,000 The Chase Manhattan
Corporation.................. 4,237,750
--------------
21,778,244
------------------------------------------------------------------------------------------------------
BANKING & FINANCIAL 256,900 Citigroup Inc................ 15,478,225
------------------------------------------------------------------------------------------------------
BEVERAGES 204,100 The Coca-Cola Company........ 11,722,994
217,720 PepsiCo, Inc................. 9,674,932
--------------
21,397,926
------------------------------------------------------------------------------------------------------
BROADCASTING & 94,400 +TV Guide, Inc. (Class A).... 3,233,200
PUBLISHING
------------------------------------------------------------------------------------------------------
BROADCASTING-CABLE 463,300 +AT&T Corp.- Liberty Media
Group (Class A).............. 11,235,025
------------------------------------------------------------------------------------------------------
BROADCASTING- 18,000 +Univision Communications
MEDIA Inc. (Class A) 1,863,000
------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS 36,500 +American Tower Corporation
(Class A).................... 1,521,594
------------------------------------------------------------------------------------------------------
BUSINESS SERVICES 100,300 +Oracle Corporation.......... 8,425,200
------------------------------------------------------------------------------------------------------
CABLE 211,100 +Charter Communications, Inc.
(Class A).................... 3,469,956
------------------------------------------------------------------------------------------------------
CAPITAL EQUIPMENT 47,026 +Agilent
Technologies, Inc............ 3,468,167
123,300 Hewlett-Packard Company...... 15,397,087
--------------
18,865,254
------------------------------------------------------------------------------------------------------
CAPITAL GOODS 22,900 Minnesota Mining and
Manufacturing Company (3M)... 1,889,250
------------------------------------------------------------------------------------------------------
CELLULAR TELEPHONES 35,200 +Dobson Communications
Corporation (Class A)........ 677,600
------------------------------------------------------------------------------------------------------
CHEMICALS 192,453 Rohm and Haas Company........ 6,639,628
------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES 117,800 +Convergys Corporation....... 6,110,875
------------------------------------------------------------------------------------------------------
COMMUNICATION 7,200 +CIENA Corporation........... 1,199,700
EQUIPMENT 139,420 +WorldCom, Inc............... 6,395,893
287,550 Lucent Technologies, Inc..... 17,037,337
--------------
24,632,930
------------------------------------------------------------------------------------------------------
COMMUNICATIONS 60,200 +Pegasus Communications
Corporation.................. 2,946,037
------------------------------------------------------------------------------------------------------
COMPUTER SERVICES 153,600 +America Online, Inc......... 8,102,400
518,722 +Cisco Systems, Inc.......... 32,971,254
93,000 Electronic Data Systems
Corporation.................. 3,836,250
2,800 +StorageNetworks, Inc........ 252,700
--------------
45,162,604
------------------------------------------------------------------------------------------------------
COMPUTER TECHNOLOGY 89,000 +Solectron Corporation....... 3,726,875
------------------------------------------------------------------------------------------------------
<CAPTION>
PERCENT OF
COUNTRIES NET ASSETS
<S> <C>
---------------------
UNITED STATES 0.2%
-----------
0.4
-----------
0.1
-----------
0.4
-----------
0.1
-----------
0.4
0.8
0.3
-----
1.5
-----------
1.1
-----------
0.8
0.7
-----
1.5
-----------
0.2
-----------
0.8
-----------
0.1
-----------
0.1
-----------
0.6
-----------
0.2
-----------
0.2
1.1
-----
1.3
-----------
0.1
-----------
0.0
-----------
0.5
-----------
0.4
-----------
0.1
0.5
1.2
-----
1.8
-----------
0.2
-----------
0.6
2.3
0.3
0.0
-----
3.2
-----------
0.3
-----------
</TABLE>
50
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
COUNTRIES INDUSTRIES HELD COMMON STOCKS VALUE
<S> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------------------
UNITED STATES COMPUTERS 98,200 Compaq Computer
(CONTINUED) Corporation.................. $ 2,510,237
197,380 +EMC Corporation............. 15,185,924
94,615 International Business
Machines Corporation......... 10,366,256
74,350 RadioShack Corporation....... 3,522,331
136,920 +Sun Microsystems, Inc....... 12,451,162
--------------
44,035,910
------------------------------------------------------------------------------------------------------
COMPUTERS & COMPUTER 17,700 +Ariba, Inc.................. 1,734,600
SERVICES
------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS 91,700 Honeywell International
Inc.......................... 3,089,144
------------------------------------------------------------------------------------------------------
CONSUMER-ELECTRONICS 125,900 +Dell Computer Corporation... 6,208,444
------------------------------------------------------------------------------------------------------
DIVERSIFIED 37,400 +Conexant Systems, Inc....... 1,816,237
COMPANIES 30,900 Corning Incorporated......... 8,339,138
--------------
10,155,375
------------------------------------------------------------------------------------------------------
ELECTRIC & GAS 214,800 +Calpine Corporation......... 14,123,100
103,900 DPL Inc...................... 2,279,306
--------------
16,402,406
------------------------------------------------------------------------------------------------------
ELECTRICAL 2,400 +Capstone Turbine
Corporation.................. 108,450
------------------------------------------------------------------------------------------------------
ELECTRICAL & 49,800 +The AES Corporation......... 2,272,125
ELECTRONICS
------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT 454,450 General Electric Company..... 24,085,850
------------------------------------------------------------------------------------------------------
ELECTRONIC COMPONENTS 32,700 +LSI Logic Corporation....... 1,769,887
------------------------------------------------------------------------------------------------------
ELECTRONICS/ 10,600 +Analog Devices, Inc. ....... 805,600
INSTRUMENTS 21,000 +Broadcom Corporation
(Class A).................... 4,597,687
258,950 Intel Corporation............ 34,602,194
108,250 Texas Instruments
Incorporated................. 7,435,422
--------------
47,440,903
------------------------------------------------------------------------------------------------------
FIBER OPTICS 1,300 +Exfo Electro-Optical
Engineering Inc.............. 57,037
------------------------------------------------------------------------------------------------------
FINANCE 68,400 Freddie Mac.................. 2,770,200
------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES 104,330 Associates First Capital
Corporation (Class A)........ 2,327,863
76,500 The Charles Schwab
Corporation.................. 2,572,312
167,580 Wells Fargo Company.......... 6,493,725
--------------
11,393,900
------------------------------------------------------------------------------------------------------
HEALTHCARE- 97,400 HCA-The Healthcare
PRODUCTS & SERVICES Corporation.................. 2,958,525
------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS 190,050 Colgate-Palmolive Company.... 11,379,244
26,000 The Procter & Gamble
Company...................... 1,488,500
--------------
12,867,744
------------------------------------------------------------------------------------------------------
INSURANCE 81,880 AXA Financial, Inc........... 2,783,920
105,850 American International
Group, Inc. ................. 12,437,375
31,200 ITT Industries, Inc.......... 947,700
--------------
16,168,995
------------------------------------------------------------------------------------------------------
<CAPTION>
PERCENT OF
COUNTRIES NET ASSETS
<S> <C>
---------------------
UNITED STATES
0.2%
(CONTINUED) 1.1
0.7
0.3
0.9
-----
3.2
-----------
0.1
-----------
0.2
-----------
0.4
-----------
0.1
0.6
-----
0.7
-----------
1.0
0.2
-----
1.2
-----------
0.0
-----------
0.2
-----------
1.7
-----------
0.1
-----------
0.1
0.3
2.5
0.5
-----
3.4
-----------
0.0
-----------
0.2
-----------
0.2
0.2
0.5
-----
0.9
-----------
0.2
-----------
0.8
0.1
-----
0.9
-----------
0.2
0.9
0.1
-----
1.2
-----------
</TABLE>
51
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
COUNTRIES INDUSTRIES HELD COMMON STOCKS VALUE
<S> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------------------
UNITED INTERNET SOFTWARE 31,100 +IntraNet Solutions, Inc..... $ 1,193,463
STATES 18,025 +VeriSign, Inc............... 3,178,033
--------------
(CONTINUED) 4,371,496
------------------------------------------------------------------------------------------------------
INTERNETWORKING 1,600 +Alamosa PCS
Holdings, Inc................ 33,400
20,600 +InfoSpace.com, Inc.......... 1,138,150
19,600 +Inktomi Corporation......... 2,317,700
--------------
3,489,250
------------------------------------------------------------------------------------------------------
LASER SYSTEMS & 142,690 +JDS Uniphase Corporation.... 17,096,046
COMPONENTS
------------------------------------------------------------------------------------------------------
MANUFACTURING 182,700 Tyco International Ltd....... 8,655,413
------------------------------------------------------------------------------------------------------
MEDICAL TECHNOLOGY 40,000 +Boston Scientific
Corporation.................. 877,500
52,350 Johnson & Johnson............ 5,333,156
--------------
6,210,656
------------------------------------------------------------------------------------------------------
METALS 164,000 Alcoa Inc.................... 4,756,000
------------------------------------------------------------------------------------------------------
MULTI-INDUSTRY 26,900 Textron, Inc. ............... 1,461,006
------------------------------------------------------------------------------------------------------
MULTI-MEDIA 31,100 Time Warner Inc.............. 2,363,600
------------------------------------------------------------------------------------------------------
NATURAL GAS 218,740 Enron Corp................... 14,108,730
------------------------------------------------------------------------------------------------------
NATURAL RESOURCES 192,900 Burlington Resources Inc..... 7,378,425
------------------------------------------------------------------------------------------------------
NETWORKING PRODUCTS 7,100 +ONI Systems Corp............ 832,031
------------------------------------------------------------------------------------------------------
OIL & GAS PRODUCERS 38,000 +Nabors Industries, Inc...... 1,579,375
------------------------------------------------------------------------------------------------------
OIL-INTEGRATED 226,608 Exxon Mobil Corporation...... 17,788,728
------------------------------------------------------------------------------------------------------
OIL SERVICES 57,500 Schlumberger Limited......... 4,290,937
------------------------------------------------------------------------------------------------------
PETROLEUM 51,300 Unocal Corporation........... 1,699,313
------------------------------------------------------------------------------------------------------
PHARMACEUTICALS 129,800 American Home Products
Corporation.................. 7,625,750
107,970 Cardinal Health, Inc......... 7,989,780
39,000 Eli Lilly and Company........ 3,895,125
160,310 Merck & Co., Inc. ........... 12,283,754
286,070 Pfizer Inc................... 13,731,360
49,600 Schering-Plough Corporation.. 2,504,800
--------------
48,030,569
------------------------------------------------------------------------------------------------------
RADIO & TELEVISION 182,490 +AMFM Inc.................... 12,591,810
------------------------------------------------------------------------------------------------------
RETAIL 99,480 +Safeway Inc. ............... 4,489,035
129,550 Wal-Mart Stores, Inc......... 7,465,319
--------------
11,954,354
------------------------------------------------------------------------------------------------------
RETAIL SPECIALTY 122,550 Lowe's Companies, Inc........ 5,032,209
------------------------------------------------------------------------------------------------------
SCIENTIFIC EQUIPMENT 52,330 Millipore Corporation........ 3,944,374
------------------------------------------------------------------------------------------------------
SEMICONDUCTORS 204,900 Motorola, Inc................ 5,954,906
------------------------------------------------------------------------------------------------------
SOFTWARE 87,300 +Amdocs Limited.............. 6,700,275
6,700 +Macromedia, Inc............. 647,387
170,540 +Microsoft Corporation....... 13,632,541
87,000 +Network Associates, Inc..... 1,772,625
26,100 +RSA Security Inc............ 1,813,950
35,200 +VERITAS Software
Corporation.................. 3,977,600
27,300 +Wind River Systems, Inc..... 1,033,988
28,400 +Yahoo! Inc.................. 3,518,050
--------------
33,096,416
------------------------------------------------------------------------------------------------------
TECHNOLOGY 26,000 Symbol Technologies, Inc..... 1,404,000
------------------------------------------------------------------------------------------------------
<CAPTION>
PERCENT OF
COUNTRIES NET ASSETS
<S> <C>
---------------------
UNITED 0.1%
STATES 0.2
-----
(CONTINUED) 0.3
-----------
0.0
0.1
0.2
-----
0.3
-----------
1.2
-----------
0.6
-----------
0.1
0.4
-----
0.5
-----------
0.3
-----------
0.1
-----------
0.2
-----------
1.0
-----------
0.5
-----------
0.1
-----------
0.1
-----------
1.3
-----------
0.3
-----------
0.1
-----------
0.5
0.6
0.3
0.9
1.0
0.2
-----
3.5
-----------
0.9
-----------
0.3
0.6
-----
0.9
-----------
0.4
-----------
0.3
-----------
0.4
-----------
0.5
0.0
1.0
0.1
0.1
0.3
0.1
0.2
-----
2.3
-----------
0.1
-----------
</TABLE>
52
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
COUNTRIES INDUSTRIES HELD COMMON STOCKS VALUE
<S> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------------------
UNITED TELECOMMUNICATIONS 108,200 +AT&T Wireless Group......... $ 3,016,075
STATES 75,600 +Adelphia Business
(CONCLUDED) Solutions, Inc. ............. 1,748,250
204,200 GTE Corporation.............. 12,711,450
22,300 +Level 3
Communications, Inc.......... 1,961,006
179,000 +McLeodUSA Incorporated
(Class A).................... 3,703,062
36,800 +Qwest Communications
International Inc............ 1,828,500
32,000 Sprint Corp. (FON Group)..... 1,632,000
93,200 +Sprint Corp. (PCS Group).... 5,545,400
--------------
32,145,743
------------------------------------------------------------------------------------------------------
UTILITIES- 219,200 SBC Communications Inc....... 9,480,400
COMMUNICATIONS
------------------------------------------------------------------------------------------------------
UTILITIES-ELECTRIC 70,000 Constellation Energy Group... 2,279,375
------------------------------------------------------------------------------------------------------
UTILITIES-GAS PIPELINE 45,000 Dynegy Inc. (Class A)........ 3,074,062
------------------------------------------------------------------------------------------------------
WIRELESS 2,800 +Telaxis Communications
COMMUNICATIONS Corporation.................. 87,325
------------------------------------------------------------------------------------------------------
WIRELESS 111,400 +Nextel Communications, Inc.
COMMUNICATIONS- (Class A).................... 6,816,287
DOMESTIC PAGING &
CELLULAR
------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS IN THE
UNITED STATES 691,490,807
------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN COMMON STOCKS
(COST-$747,210,944) 959,111,354
------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
PERCENT OF
COUNTRIES NET ASSETS
<S> <C>
---------------------
UNITED 0.2%
STATES
(CONCLUDED) 0.1
0.9
0.2
0.3
0.1
0.1
0.4
-----
2.3
-----------
0.7
-----------
0.2
-----------
0.2
-----------
0.0
-----------
0.5
---------------------
49.3
---------------------
68.4
---------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT US CORPORATE BONDS
<S> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES $ 3,000,000 General Electric Capital
Corp., 8.75% due 5/21/2007... 3,254,580
------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN US CORPORATE BONDS
(COST-$3,373,650) 3,254,580
------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C>
---------------------
FINANCIAL SERVICES
0.2
---------------------
0.2
---------------------
</TABLE>
53
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Multiple Strategy Portfolio
Schedule of Investments as of June 30, 2000 (Concluded) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT SHORT-TERM SECURITIES VALUE
<S> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER* $25,044,000 General Motors Acceptance
Corp., 7.13% due 7/03/2000... $ 25,034,080
------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SHORT-TERM SECURITIES
(COST-$25,034,080) 25,034,080
------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(COST-$1,185,729,586)........ 1,400,374,514
UNREALIZED APPRECIATION ON
FORWARD FOREIGN EXCHANGE
CONTRACTS**.................. 144,380
OTHER ASSETS LESS
LIABILITIES.................. 2,915,426
--------------
NET ASSETS................... $1,403,434,320
==============
------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
PERCENT OF
NET ASSETS
<S> <C>
---------------------
COMMERCIAL PAPER*
1.8%
---------------------
1.8
---------------------
99.8
0.0
0.2
-----
100.0%
=====
---------------------
</TABLE>
(a) American Depositary Receipts (ADR).
+ Non-income producing security.
* Commercial Paper is traded on a discount basis; the interest rate shown
reflects the discount rate paid at the time of purchase by the Portfolio.
** Forward foreign exchange contracts sold as of June 30, 2000 were as follows:
<TABLE>
------------------------------------------------------
UNREALIZED
FOREIGN EXPIRATION APPRECIATION
CURRENCY SOLD DATE (DEPRECIATION)
------------------------------------------------------
<S> <C> <C>
A$ 7,600,000 July 2000 $ 9,424
[EURO] 21,000,000 August 2000 (55,755)
L 5,775,000 August 2000 260
Y 7,400,000,000 July 2000 190,451
------------------------------------------------------
TOTAL UNREALIZED APPRECIATION ON
FORWARD FOREIGN EXCHANGE
CONTRACTS-NET (US$
COMMITMENT-$103,669,853) $144,380
========
------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
54
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of June 30, 2000 (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD STOCKS VALUE NET ASSETS
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------------
ALUMINUM 4,776 Alcoa Inc......................................... $ 138,504 0.9%
-----------------------------------------------------------------------------------------------------------------------
CANADIAN 9,200 Alberta Energy Company Ltd. ...................... 371,303 2.4
INDEPENDENTS 5,200 +Anderson Exploration Ltd......................... 94,405 0.6
18,000 +Baytex Energy Ltd. .............................. 170,075 1.1
24,025 +Canadian Hunter Exploration Ltd. ................ 509,946 3.3
3,500 +Canadian Natural Resources Ltd. ................. 101,573 0.7
6,600 Canadian Occidental Petroleum Ltd. ............... 178,842 1.2
3,000 +Chieftain International, Inc. ................... 57,188 0.4
14,800 +Crestar Energy, Inc.............................. 225,241 1.5
16,200 +Cypress Energy Inc. (Class A).................... 73,254 0.5
21,000 +Genesis Exploration Ltd.......................... 155,902 1.0
33,200 +Gulf Canada Resources Limited (Ordinary)......... 159,775 1.0
13,900 Paramount Resources Ltd. ......................... 142,124 0.9
7,800 +Rio Alto Exploration Ltd......................... 142,660 0.9
7,800 +Talisman Energy Inc. ............................ 258,210 1.7
13,300 +Tesco Corporation................................ 135,540 0.9
22,900 +Velvet Exploration Ltd. ......................... 74,185 0.5
----------- -----
2,850,223 18.6
-----------------------------------------------------------------------------------------------------------------------
CHEMICALS 4,400 Air Products and Chemicals, Inc. ................. 135,575 0.9
-----------------------------------------------------------------------------------------------------------------------
DIVERSIFIED RESOURCES 3,500 Ashland Inc. ..................................... 122,719 0.8
COMPANIES
-----------------------------------------------------------------------------------------------------------------------
INTERGRATED OIL 4,900 Amerada Hess Corporation.......................... 302,575 2.0
COMPANIES 4,900 Chevron Corporation............................... 415,581 2.7
1,800 Conoco Inc. (Class A)............................. 39,600 0.3
6,600 Conoco Inc. (Class B)............................. 162,113 1.0
1,500 ENI SpA (ADR)*.................................... 87,281 0.6
5,104 Exxon Mobil Corporation........................... 400,664 2.6
7,000 Murphy Oil Corporation............................ 416,063 2.7
1,900 Phillips Petroleum Company........................ 96,306 0.6
2,500 Royal Dutch Petroleum Company (NY Registered
Shares).......................................... 153,906 1.0
2,600 Texaco Inc. ...................................... 138,450 0.9
7,500 USX-Marathon Group................................ 187,969 1.2
----------- -----
2,400,508 15.6
-----------------------------------------------------------------------------------------------------------------------
LAND & OFFSHORE 28,800 +Drillers Technology Corp. ....................... 31,099 0.2
DRILLING COMPANIES 6,100 Ensign Resource Service Group, Inc................ 200,904 1.3
5,500 Global Marine Inc................................. 155,031 1.0
3,900 Nabors Industries, Inc............................ 162,094 1.0
6,300 Noble Drilling Corporation........................ 259,481 1.7
10,100 R&B Falcon Corporation............................ 237,981 1.5
5,800 Santa Fe International Corporation................ 202,637 1.3
----------- -----
1,249,227 8.0
-----------------------------------------------------------------------------------------------------------------------
METALS & MINING 173,700 M.I.M. Holdings Limited........................... 93,861 0.6
2,000 Phelps Dodge Corporation.......................... 74,375 0.5
12,150 +Stillwater Mining Company........................ 338,681 2.2
38,600 WMC Limited....................................... 173,190 1.1
14,260 +Zimbabwe Platinum Mines Limited.................. 1,738 0.0
----------- -----
681,845 4.4
-----------------------------------------------------------------------------------------------------------------------
</TABLE>
55
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of June 30, 2000 (Continued) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES PERCENT OF
INDUSTRIES HELD STOCKS VALUE NET ASSETS
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------------
OIL & GAS PRODUCERS 5,500 Anadarko Petroleum Corporation.................... $ 271,219 1.8%
6,800 Apache Corporation................................ 399,925 2.6
4,400 +Barrett Resources Corporation.................... 133,925 0.9
3,040 Burlington Resources Inc.......................... 116,280 0.7
3,600 Cabot Oil & Gas Corporation (Class A)............. 76,275 0.5
10,075 Devon Energy Corporation.......................... 566,089 3.7
20,400 EOG Resources, Inc................................ 683,400 4.4
3,979 Kerr-McGee Corporation............................ 234,512 1.5
400 Mitchell Energy & Development Corp. (Class A)..... 12,850 0.1
2,400 +Stone Energy Corporation......................... 143,400 0.9
5,700 Unocal Corporation................................ 188,813 1.2
----------- -----
2,826,688 18.3
-----------------------------------------------------------------------------------------------------------------------
OIL SERVICES 4,900 +BJ Services Company.............................. 306,250 2.0
7,800 Baker Hughes Incorporated......................... 249,600 1.6
3,700 Coflexip SA (ADR)*................................ 222,925 1.4
4,200 +Cooper Cameron Corporation....................... 277,200 1.8
15,800 +Drillers Technology Corp. ....................... 17,061 0.1
6,700 +Grant Prideco, Inc............................... 167,500 1.1
6,000 Helmerich & Payne, Inc............................ 224,250 1.4
5,300 +National-Oilwell, Inc............................ 174,238 1.1
400 Noble Affiliates, Inc............................. 14,900 0.1
9,300 +Precision Drilling Corporation................... 359,020 2.3
24,400 Saipem SpA........................................ 145,017 0.9
5,500 +Stolt Offshore, SA............................... 77,687 0.5
3,350 +Stolt Offshore, SA (ADR)*........................ 39,781 0.3
6,900 +Weatherford International, Inc. ................. 274,706 1.8
----------- -----
2,550,135 16.4
-----------------------------------------------------------------------------------------------------------------------
PAPER & FOREST 7,000 Fort James Corporation............................ 161,875 1.0
PRODUCTS 5,900 International Paper Company....................... 175,894 1.1
----------- -----
337,769 2.1
-----------------------------------------------------------------------------------------------------------------------
PIPELINES 4,300 The Coastal Corporation........................... 261,763 1.7
3,700 Equitable Resources, Inc.......................... 178,525 1.2
1,800 The Williams Companies, Inc. ..................... 75,038 0.5
----------- -----
515,326 3.4
-----------------------------------------------------------------------------------------------------------------------
REFINING 3,200 Sunoco, Inc. ..................................... 94,200 0.6
-----------------------------------------------------------------------------------------------------------------------
STEEL 22,400 The LTV Corporation............................... 64,400 0.4
-----------------------------------------------------------------------------------------------------------------------
TOTAL STOCKS (COST-$11,177,297)................... 13,967,119 90.4
-----------------------------------------------------------------------------------------------------------------------
</TABLE>
56
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Natural Resources Portfolio
Schedule of Investments as of June 30, 2000 (Concluded) (in US dollars)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE PERCENT OF
AMOUNT SHORT-TERM SECURITIES VALUE NET ASSETS
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER** $ 590,000 General Motors Acceptance Corporation, 7.13% due
7/03/2000........................................ $ 589,649 3.8%
-----------------------------------------------------------------------------------------------------------------------
US GOVERNMENT AGENCY 1,000,000 Federal Home Loan Mortgage Corporation, 6.46% due
OBLIGATIONS** 7/18/2000........................................ 996,770 6.4
-----------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM SECURITIES (COST-1,586,419) 1,586,419 10.2
-----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST-$12,763,716).............. 15,553,538 100.6
LIABILITIES IN EXCESS OF OTHER ASSETS............. (93,448) (0.6)
----------- -----
NET ASSETS........................................ $15,460,090 100.0%
=========== =====
-----------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Non-income producing security.
* American Depositary Receipts (ADR).
** Commercial Paper and certain US Government Agency Obligations are traded on a
discount basis; the interest rates shown reflect the discount rates paid at
the time of purchase by the Portfolio.
See Notes to Financial Statements.
57
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Assets and Liabilities as of June 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
---------------------------------------------------------------------------
ASSETS:
Investments, at value*........ $114,154,306 $426,541,627 $229,701,734
Unrealized appreciation on
forward foreign exchange
contracts................... -- -- 67,827
Cash.......................... 537 897 591
Foreign cash.................. -- 5,278 59,400
Interest receivable........... 645,260 -- 868,860
Receivable for securities
sold........................ -- 6,044,549 2,726,624
Dividends receivable.......... 30,527 167,733 229,200
Receivable for capital shares
sold........................ 207,718 789 499
Receivable for forward foreign
exchange contracts.......... -- 20,326 225,862
Receivable for loaned
securities.................. -- -- --
Prepaid expenses and other
assets...................... 6,036 15,820 11,687
------------ ------------ ------------
Total assets................ 115,044,384 432,797,019 233,892,284
------------ ------------ ------------
LIABILITIES:
Unrealized depreciation on
forward foreign exchange
contracts................... -- 1,523 --
Payable for securities
purchased................... 252,797 1,594,915 2,577,095
Payable for capital shares
redeemed.................... 1,541 782,748 66,970
Payable for forward foreign
exchange contracts.......... -- 135,759 376,972
Payable to investment
adviser..................... 32,310 106,702 57,134
Accrued expenses and other
liabilities................. 18,920 56,818 76,500
------------ ------------ ------------
Total liabilities........... 305,568 2,678,465 3,154,671
------------ ------------ ------------
NET ASSETS.................... $114,738,816 $430,118,554 $230,737,613
============ ============ ============
NET ASSETS CONSIST OF:
Common Stock, $.10 par
value+...................... $ 762,035 $ 1,445,499 $ 1,366,818
Paid-in capital in excess of
par......................... 95,855,943 284,896,218 187,703,469
Undistributed investment
income--net................. 1,530,682 3,661,753 1,920,621
Undistributed (accumulated)
realized capital gains
(losses) on investments and
foreign currency
transactions--net........... 3,318,643 48,188,605 9,719,819
Unrealized appreciation
(depreciation) on
investments and foreign
currency
transactions--net........... 13,271,513 91,926,479 30,026,886
------------ ------------ ------------
NET ASSETS.................... $114,738,816 $430,118,554 $230,737,613
============ ============ ============
Capital shares outstanding.... 7,620,352 14,454,991 13,668,184
============ ============ ============
Net asset value, offering and
redemption price per
share....................... $ 15.06 $ 29.76 $ 16.88
============ ============ ============
*Identified cost.............. $100,882,793 $334,584,377 $199,739,712
============ ============ ============
+Authorized shares............ 100,000,000 100,000,000 100,000,000
============ ============ ============
</TABLE>
See Notes to Financial Statements.
58
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GROWTH HIGH GOVERNMENT CORPORATE MONEY MULTIPLE
STOCK YIELD BOND BOND RESERVE STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at value*........ $689,883,487 $ 97,217,982 $206,548,936 $112,297,670 $ 521,126,873 $1,400,374,514
Unrealized appreciation on
forward foreign exchange
contracts................... -- -- -- -- -- 144,380
Cash.......................... 699 736 276 747 857 1,113
Foreign cash.................. -- -- -- -- -- 128,971
Interest receivable........... -- 2,122,049 2,341,700 2,030,638 2,653,066 6,679,050
Receivable for securities
sold........................ -- 904,750 -- -- -- 3,183,462
Dividends receivable.......... 236,553 60,062 -- -- -- 747,155
Receivable for capital shares
sold........................ 799 -- 231 -- 861,677 2,361
Receivable for forward foreign
exchange contracts.......... -- -- -- -- -- 544,918
Receivable for loaned
securities.................. -- -- 2,478 411 -- --
Prepaid expenses and other
assets...................... 25,912 5,678 11,854 6,724 32,168 69,804
------------ ------------ ------------ ------------ -------------- --------------
Total assets................ 690,147,450 100,311,257 208,905,475 114,336,190 524,674,641 1,411,875,728
------------ ------------ ------------ ------------ -------------- --------------
LIABILITIES:
Unrealized depreciation on
forward foreign exchange
contracts................... -- -- -- -- -- --
Payable for securities
purchased................... 13,542,639 943,890 -- -- -- 5,852,303
Payable for capital shares
redeemed.................... 353,980 93,905 489,276 27,646 50,358 1,208,080
Payable for forward foreign
exchange contracts.......... -- -- -- -- -- 684,250
Payable to investment
adviser..................... 167,376 24,017 51,462 28,076 129,452 347,250
Accrued expenses and other
liabilities................. 97,999 21,994 41,384 23,362 97,261 349,525
------------ ------------ ------------ ------------ -------------- --------------
Total liabilities........... 14,161,994 1,083,806 582,122 79,084 277,071 8,441,408
------------ ------------ ------------ ------------ -------------- --------------
NET ASSETS.................... $675,985,456 $ 99,227,451 $208,323,353 $114,257,106 $ 524,397,570 $1,403,434,320
============ ============ ============ ============ ============== ==============
NET ASSETS CONSIST OF:
Common Stock, $.10 par
value+...................... $ 1,692,114 $ 1,403,827 $ 1,966,323 $ 1,064,349 $ 52,471,414 $ 7,622,245
Paid-in capital in excess of
par......................... 438,176,202 126,345,099 220,594,486 122,521,934 472,242,729 1,084,803,308
Undistributed investment
income--net................. 958,235 673,502 1,144,296 654,471 -- 13,843,800
Undistributed (accumulated)
realized capital gains
(losses) on investments and
foreign currency
transactions--net........... 98,533,999 (11,308,358) (11,446,546) (5,070,688) -- 82,388,018
Unrealized appreciation
(depreciation) on
investments and foreign
currency
transactions--net........... 136,624,906 (17,886,619) (3,935,206) (4,912,960) (316,573) 214,776,949
------------ ------------ ------------ ------------ -------------- --------------
NET ASSETS.................... $675,985,456 $ 99,227,451 $208,323,353 $114,257,106 $ 524,397,570 $1,403,434,320
============ ============ ============ ============ ============== ==============
Capital shares outstanding.... 16,921,137 14,038,272 19,663,225 10,643,490 524,714,143 76,222,447
============ ============ ============ ============ ============== ==============
Net asset value, offering and
redemption price per
share....................... $ 39.95 $ 7.07 $ 10.59 $ 10.73 $ 1.00 $ 18.41
============ ============ ============ ============ ============== ==============
*Identified cost.............. $553,258,581 $115,104,601 $210,484,142 $117,210,630 $ 521,443,446 $1,185,729,586
============ ============ ============ ============ ============== ==============
+Authorized shares............ 100,000,000 100,000,000 100,000,000 100,000,000 2,000,000,000 300,000,000
============ ============ ============ ============ ============== ==============
<CAPTION>
NATURAL
RESOURCES
PORTFOLIO
<S> <C>
------------
------------------------------
ASSETS:
Investments, at value*........ $ 15,553,538
Unrealized appreciation on
forward foreign exchange
contracts................... --
Cash.......................... 1,553
Foreign cash.................. 79
Interest receivable........... --
Receivable for securities
sold........................ --
Dividends receivable.......... 10,799
Receivable for capital shares
sold........................ --
Receivable for forward foreign
exchange contracts.......... --
Receivable for loaned
securities.................. --
Prepaid expenses and other
assets...................... 753
------------
Total assets................ 15,566,722
------------
LIABILITIES:
Unrealized depreciation on
forward foreign exchange
contracts................... --
Payable for securities
purchased................... 87,907
Payable for capital shares
redeemed.................... 1,665
Payable for forward foreign
exchange contracts.......... --
Payable to investment
adviser..................... 2,865
Accrued expenses and other
liabilities................. 14,195
------------
Total liabilities........... 106,632
------------
NET ASSETS.................... $ 15,460,090
============
NET ASSETS CONSIST OF:
Common Stock, $.10 par
value+...................... $ 156,380
Paid-in capital in excess of
par......................... 14,972,604
Undistributed investment
income--net................. 74,026
Undistributed (accumulated)
realized capital gains
(losses) on investments and
foreign currency
transactions--net........... (2,532,641)
Unrealized appreciation
(depreciation) on
investments and foreign
currency
transactions--net........... 2,789,721
------------
NET ASSETS.................... $ 15,460,090
============
Capital shares outstanding.... 1,563,800
============
Net asset value, offering and
redemption price per
share....................... $ 9.89
============
*Identified cost.............. $ 12,763,716
============
+Authorized shares............ 100,000,000
============
</TABLE>
59
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Operations for the Six Months Ended June 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GLOBAL
BALANCED STOCK STRATEGY
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
-----------------------------------------------------------------------
INVESTMENT INCOME:
Interest and discount
earned*..................... $1,510,314 $ 617,139 $ 1,417,453
Dividends*.................... 244,706 3,841,820 2,393,721
Other income.................. -- 2,926 8,683
---------- ----------- -----------
Total income.................. 1,755,020 4,461,885 3,819,857
---------- ----------- -----------
EXPENSES:
Investment advisory fees...... 186,638 691,810 376,119
Custodian fees................ 11,574 32,466 80,294
Accounting services........... 12,386 40,505 25,709
Professional fees............. 6,408 14,060 8,650
Printing and shareholder
reports..................... 1,929 6,878 4,126
Registration fees............. 751 4,760 2,042
Pricing services.............. 442 1,967 1,554
Transfer agent fees........... 2,462 2,398 2,611
Directors' fees and
expenses.................... 398 1,324 887
Other......................... 1,350 3,895 5,998
---------- ----------- -----------
Total expenses before
reimbursement............... 224,338 800,063 507,990
Reimbursement of expenses..... -- -- --
---------- ----------- -----------
Total expenses after
reimbursement............... 224,338 800,063 507,990
---------- ----------- -----------
Investment income -- net...... 1,530,682 3,661,822 3,311,867
---------- ----------- -----------
REALIZED & UNREALIZED GAIN
(LOSS) ON INVESTMENTS &
FOREIGN CURRENCY
TRANSACTIONS -- NET:
Realized gain (loss) on
investments -- net.......... 3,380,035 47,849,890 12,545,527
Realized gain (loss) on
foreign currency
transactions -- net......... -- 432,352 (2,750,311)
Change in unrealized
appreciation/depreciation on
investments -- net.......... (1,921,663) (39,087,608) (15,173,251)
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net........ -- (30,406) 77,724
---------- ----------- -----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $2,989,054 $12,826,050 $(1,988,444)
========== =========== ===========
*Net of foreign withholding
tax......................... $ -- $ 44,571 $ 155,863
========== =========== ===========
</TABLE>
See Notes to Financial Statements.
60
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GROWTH HIGH GOVERNMENT CORPORATE MONEY MULTIPLE NATURAL
STOCK YIELD BOND BOND RESERVE STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest and discount
earned*..................... $ 589,708 $ 4,913,662 $ 7,226,273 $ 4,270,467 $16,680,662 $11,941,754 $ 22,596
Dividends*.................... 1,606,622 237,543 -- -- -- 8,549,904 85,665
Other income.................. -- 39,457 17,602 1,509 -- 22,547 --
----------- ----------- ------------ ----------- ----------- ----------- ----------
Total income.................. 2,196,330 5,190,662 7,243,875 4,271,976 16,680,662 20,514,205 108,261
----------- ----------- ------------ ----------- ----------- ----------- ----------
EXPENSES:
Investment advisory fees...... 1,069,214 153,897 338,324 187,445 869,354 2,274,994 22,103
Custodian fees................ 42,766 8,831 19,323 10,094 14,515 218,729 5,875
Accounting services........... 67,581 11,560 24,504 12,729 51,138 154,108 4,391
Professional fees............. 16,147 6,823 9,258 6,865 19,346 35,931 4,178
Printing and shareholder
reports..................... 10,911 1,688 3,773 1,432 10,057 24,328 293
Registration fees............. 19,266 939 -- 1,036 4,771 14,278 109
Pricing services.............. 1,288 3,132 4,744 3,870 568 6,950 3,289
Transfer agent fees........... 2,520 2,730 2,617 2,654 2,679 2,554 2,732
Directors' fees and
expenses.................... 1,914 412 777 442 1,938 4,258 126
Other......................... 6,472 1,282 2,014 1,299 3,326 17,742 608
----------- ----------- ------------ ----------- ----------- ----------- ----------
Total expenses before
reimbursement............... 1,238,079 191,294 405,334 227,866 977,692 2,753,872 43,704
Reimbursement of expenses..... -- -- -- -- -- -- (9,469)
----------- ----------- ------------ ----------- ----------- ----------- ----------
Total expenses after
reimbursement............... 1,238,079 191,294 405,334 227,866 977,692 2,753,872 34,235
----------- ----------- ------------ ----------- ----------- ----------- ----------
Investment income -- net...... 958,251 4,999,368 6,838,541 4,044,110 15,702,970 17,760,333 74,026
----------- ----------- ------------ ----------- ----------- ----------- ----------
REALIZED & UNREALIZED GAIN
(LOSS) ON INVESTMENTS &
FOREIGN CURRENCY
TRANSACTIONS -- NET:
Realized gain (loss) on
investments -- net.......... 99,199,724 (5,867,661) (3,303,978) (2,837,467) 3,165 80,587,059 412,334
Realized gain (loss) on
foreign currency
transactions -- net......... (42,946) -- -- -- -- 2,733,325 262
Change in unrealized
appreciation/depreciation on
investments -- net.......... (57,408,326) 192,917 5,113,574 1,191,673 55,549 (68,388,524) 1,821,923
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net........ -- -- -- -- -- 144,670 (112)
----------- ----------- ------------ ----------- ----------- ----------- ----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $42,706,703 $ (675,376) $ 8,648,137 $ 2,398,316 $15,761,684 $32,836,863 $2,308,433
=========== =========== ============ =========== =========== =========== ==========
*Net of foreign withholding
tax......................... $ 108,365 $ -- $ -- $ -- $ -- $ 374,928 $ 2,997
=========== =========== ============ =========== =========== =========== ==========
</TABLE>
61
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO
---------------------------- ----------------------------
FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
INCREASE (DECREASE) IN NET ASSETS: 2000 1999 2000 1999
<S> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 1,530,682 $ 3,597,924 $ 3,661,822 $ 2,532,042
Realized gain (loss) on
investments and foreign currency
transactions -- net......... 3,380,035 5,946,357 48,282,242 45,669,631
Change in unrealized
appreciation/depreciation on
investments -- net.......... (1,921,663) 196,222 (39,087,608) 57,625,867
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- -- (30,406) 46,539
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations.................... 2,989,054 9,740,503 12,826,050 105,874,079
------------ ------------ ------------ ------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS:
Investment income -- net...... -- (6,700,505) (10,065) (5,502,391)
In excess of investment
income -- net............... -- (4,135) -- (256,618)
Realized gain on
investments -- net.......... (710,197) (13,054,658) (8,228,024) (65,022,220)
------------ ------------ ------------ ------------
Net decrease in net assets
resulting from dividends and
distributions to shareholders... (710,197) (19,759,298) (8,238,089) (70,781,229)
------------ ------------ ------------ ------------
CAPITAL SHARE TRANSACTIONS:
Net increase (decrease) in net
assets derived from capital
share transactions............ (6,890,775) 10,295,044 (4,849,591) 38,689,886
------------ ------------ ------------ ------------
NET ASSETS:
Total increase (decrease) in net
assets........................ (4,611,918) 276,249 (261,630) 73,782,736
Beginning of period............. 119,350,734 119,074,485 430,380,184 356,597,448
------------ ------------ ------------ ------------
End of period*.................. $114,738,816 $119,350,734 $430,118,554 $430,380,184
============ ============ ============ ============
*Undistributed (accumulated
distributions in excess of)
investment income -- net.... $ 1,530,682 $ -- $ 3,661,753 $ 9,996
============ ============ ============ ============
</TABLE>
See Notes to Financial Statements.
62
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL STRATEGY PORTFOLIO GROWTH STOCK PORTFOLIO HIGH YIELD PORTFOLIO
---------------------------- ---------------------------- ---------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
2000 1999 2000 1999 2000 1999
<S> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 3,311,867 $ 4,072,052 $ 958,251 $ 4,341,171 $ 4,999,368 $ 11,245,653
Realized gain (loss) on
investments and foreign
currency
transactions -- net......... 9,795,216 20,705,133 99,156,778 95,393,870 (5,867,661) 726,859
Change in unrealized
appreciation/depreciation on
investments -- net.......... (15,173,251) 18,915,503 (57,408,326) 75,147,379 192,917 (5,186,011)
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... 77,724 (78,394) -- -- -- --
------------ ------------ ------------ ------------ ----------- ------------
Net increase (decrease) in net
assets resulting from
operations.................. (1,988,444) 43,614,294 42,706,703 174,882,420 (675,376) 6,786,501
------------ ------------ ------------ ------------ ----------- ------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS:
Investment income -- net...... (651,509) (4,250,356) (26,724) (6,599,346) (4,117,394) (12,299,315)
In excess of investment
income -- net............... -- (2,896,892) -- -- -- (249,990)
Realized gain on
investments -- net.......... (1,518,369) (20,802,708) (12,364,568) (141,145,837) -- --
------------ ------------ ------------ ------------ ----------- ------------
Net decrease in net assets
resulting from dividends and
distributions to
shareholders................ (2,169,878) (27,949,956) (12,391,292) (147,745,183) (4,117,394) (12,549,305)
------------ ------------ ------------ ------------ ----------- ------------
CAPITAL SHARE TRANSACTIONS:
Net increase (decrease) in net
assets derived from capital
share transactions.......... (6,802,790) (5,109,685) 22,267,511 140,036,987 4,803,435 (11,630,761)
------------ ------------ ------------ ------------ ----------- ------------
NET ASSETS:
Total increase (decrease) in
net assets.................. (10,961,112) 10,554,653 52,582,922 167,174,224 10,665 (17,393,565)
Beginning of period........... 241,698,725 231,144,072 623,402,534 456,228,310 99,216,786 116,610,351
------------ ------------ ------------ ------------ ----------- ------------
End of period*................ $230,737,613 $241,698,725 $675,985,456 $623,402,534 $99,227,451 $ 99,216,786
============ ============ ============ ============ =========== ============
*Undistributed (accumulated
distributions in excess of)
investment income -- net.... $ 1,920,621 $ (739,737) $ 958,235 $ 26,708 $ 673,502 $ (208,472)
============ ============ ============ ============ =========== ============
</TABLE>
63
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Statements of Changes in Net Assets (Concluded)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT LONG TERM CORPORATE
BOND PORTFOLIO BOND PORTFOLIO
---------------------------- ----------------------------
FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
INCREASE (DECREASE) IN NET ASSETS: 2000 1999 2000 1999
<S> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 6,838,541 $ 14,157,266 $ 4,044,110 $ 8,308,636
Realized gain (loss) on
investments and foreign currency
transactions -- net......... (3,303,978) (2,464,712) (2,837,467) (1,980,786)
Change in unrealized
appreciation/depreciation on
investments -- net.......... 5,113,574 (14,711,214) 1,191,673 (9,475,140)
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- -- -- --
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations.................... 8,648,137 (3,018,660) 2,398,316 (3,147,290)
------------ ------------ ------------ ------------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS:
Investment income -- net...... (5,694,255) (15,428,265) (3,389,646) (8,999,286)
In excess of investment
income -- net............... -- -- -- --
Realized gain on
investments -- net.......... -- -- --
------------ ------------ ------------ ------------
Net decrease in net assets
resulting from dividends and
distributions to shareholders... (5,694,255) (15,428,265) (3,389,646) (8,999,286)
------------ ------------ ------------ ------------
CAPITAL SHARE TRANSACTIONS:
Net increase (decrease) in net
assets derived from capital
share transactions............ (10,594,059) (6,172,166) (4,758,617) 424,534
------------ ------------ ------------ ------------
NET ASSETS:
Total increase (decrease) in net
assets........................ (7,640,177) (24,619,091) (5,749,947) (11,722,042)
Beginning of period............. 215,963,530 240,582,621 120,007,053 131,729,095
------------ ------------ ------------ ------------
End of period*.................. $208,323,353 $215,963,530 $114,257,106 $120,007,053
============ ============ ============ ============
*Undistributed (accumulated
distributions in excess of)
investment income -- net.... $ 1,144,296 $ 10 $ 654,471 $ 7
============ ============ ============ ============
</TABLE>
See Notes to Financial Statements.
64
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY RESERVE PORTFOLIO MULTIPLE STRATEGY PORTFOLIO NATURAL RESOURCES PORTFOLIO
---------------------------- ------------------------------- ----------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
2000 1999 2000 1999 2000 1999
<S> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income -- net...... $ 15,702,970 $ 27,817,974 $ 17,760,333 $ 26,886,864 $ 74,026 $ 184,527
Realized gain (loss) on
investments and foreign
currency
transactions -- net......... 3,165 28,040 83,320,384 114,596,444 412,596 (1,094,174)
Change in unrealized
appreciation/depreciation on
investments -- net.......... 55,549 (308,406) (68,388,524) 109,095,917 1,821,923 3,739,831
Change in unrealized
appreciation/depreciation on
foreign currency
transactions -- net......... -- -- 144,670 (103,146) (112) (199)
------------ ------------ -------------- -------------- ----------- -----------
Net increase (decrease) in net
assets resulting from
operations.................. 15,761,684 27,537,608 32,836,863 250,476,079 2,308,433 2,829,985
------------ ------------ -------------- -------------- ----------- -----------
DIVIDENDS & DISTRIBUTIONS TO
SHAREHOLDERS:
Investment income -- net...... (15,702,970) (27,817,974) (2,255,419) (51,122,589) -- (436,658)
In excess of investment
income -- net............... -- -- -- (4,567,812) -- --
Realized gain on
investments -- net.......... (3,165) (28,040) (13,753,485) (186,735,970) -- --
------------ ------------ -------------- -------------- ----------- -----------
Net decrease in net assets
resulting from dividends and
distributions to
shareholders................ (15,706,135) (27,846,014) (16,008,904) (242,426,371) -- (436,658)
------------ ------------ -------------- -------------- ----------- -----------
CAPITAL SHARE TRANSACTIONS:
Net increase (decrease) in net
assets derived from capital
share transactions.......... (43,021,466) (11,130,535) (55,412,067) 93,716,028 387,447 (1,393,446)
------------ ------------ -------------- -------------- ----------- -----------
NET ASSETS:
Total increase (decrease) in
net assets.................. (42,965,917) (11,438,941) (38,584,108) 101,765,736 2,695,880 999,881
Beginning of period........... 567,363,487 578,802,428 1,442,018,428 1,340,252,692 12,764,210 11,764,329
------------ ------------ -------------- -------------- ----------- -----------
End of period*................ $524,397,570 $567,363,487 $1,403,434,320 $1,442,018,428 $15,460,090 $12,764,210
============ ============ ============== ============== =========== ===========
*Undistributed (accumulated
distributions in excess of)
investment income -- net.... -- -- $ 13,843,800 $ (1,661,114) $ 74,026 $ --
============ ============ ============== ============== =========== ===========
</TABLE>
65
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED PORTFOLIO
-------------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED --------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: JUNE 30, 2000+ 1999+ 1998 1997 1996
<S> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS
HAVE BEEN DERIVED FROM INFORMATION
PROVIDED IN THE FINANCIAL STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period... $ 14.76 $ 16.18 $ 15.78 $ 15.36 $ 14.86
-------- -------- -------- -------- --------
Investment income -- net........ .19 .45 .42 .51 .54
Realized and unrealized gain (loss) on
investments and foreign currency
transactions -- net........... .20 .79 1.52 1.76 .83
-------- -------- -------- -------- --------
Total from investment operations... .39 1.24 1.94 2.27 1.37
-------- -------- -------- -------- --------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income -- net........ -- (.90) (.51) (.27) (.57)
In excess of investment
income -- net................. -- --++++ -- -- --
Realized gain on
investments -- net............ (.09) (1.76) (1.03) (1.58) (.30)
-------- -------- -------- -------- --------
Total dividends and distributions... (.09) (2.66) (1.54) (1.85) (.87)
-------- -------- -------- -------- --------
Net asset value, end of period.... $ 15.06 $ 14.76 $ 16.18 $ 15.78 $ 15.36
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:**
Based on net asset value per share... 2.64%++ 8.55% 13.45% 16.93% 9.76%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses.......................... .39%* .38% .38% .39% .39%
======== ======== ======== ======== ========
Investment income -- net........ 2.64%* 3.01% 2.73% 3.40% 3.63%
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands)...................... $114,739 $119,351 $119,074 $108,324 $ 98,853
======== ======== ======== ======== ========
Portfolio turnover................ 53.16% 117.05% 106.73% 143.20% 234.79%
======== ======== ======== ======== ========
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
++++ Amount is less than $.01 per share.
See Notes to Financial Statements.
66
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL STOCK PORTFOLIO
-------------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED --------------------------------------
JUNE 30, 2000+ 1999+ 1998+ 1997+ 1996+
<S> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
period...................... $ 29.43 $ 27.03 $ 26.79 $ 23.25 $ 23.88
-------- -------- -------- -------- --------
Investment income -- net...... .25 .18 .26 .33 .46
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... .64 7.56 3.39 4.57 2.86
-------- -------- -------- -------- --------
Total from investment
operations.................. .89 7.74 3.65 4.90 3.32
-------- -------- -------- -------- --------
LESS DIVIDENDS &
DISTRIBUTIONS:
Investment income -- net...... --++++ (.41) (.50) (.22) (.47)
In excess of investment
income -- net............... -- (.02) -- -- --
Realized gain on
investments -- net.......... (.56) (4.91) (2.91) (1.14) (3.48)
-------- -------- -------- -------- --------
Total dividends and
distributions............... (.56) (5.34) (3.41) (1.36) (3.95)
-------- -------- -------- -------- --------
Net asset value, end of
period...................... $ 29.76 $ 29.43 $ 27.03 $ 26.79 $ 23.25
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... 3.00%++ 31.63% 15.56% 22.47% 16.54%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .37%* .37% .38% .41% .40%
======== ======== ======== ======== ========
Investment income -- net...... 1.70%* .68% 1.03% 1.38% 2.11%
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $430,119 $430,380 $356,597 $335,802 $289,696
======== ======== ======== ======== ========
Portfolio turnover............ 44.75% 81.60% 110.95% 90.19% 74.30%
======== ======== ======== ======== ========
<CAPTION>
GLOBAL STRATEGY PORTFOLIO
-------------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED --------------------------------------
JUNE 30, 2000+ 1999+ 1998+ 1997+ 1996+
<S> <C> <C> <C> <C> <C>
-------------------------------------------------------
------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
period...................... $ 17.17 $ 16.00 $ 17.44 $ 16.80 $ 15.25
-------- -------- -------- -------- --------
Investment income -- net...... .24 .30 .43 .47 .47
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... (.37) 3.02 .97 1.35 1.56
-------- -------- -------- -------- --------
Total from investment
operations.................. (.13) 3.32 1.40 1.82 2.03
-------- -------- -------- -------- --------
LESS DIVIDENDS &
DISTRIBUTIONS:
Investment income -- net...... (.05) (.32) (.70) (.55) (.39)
In excess of investment
income -- net............... -- (.21) -- -- --
Realized gain on
investments -- net.......... (.11) (1.62) (2.14) (.63) (.09)
-------- -------- -------- -------- --------
Total dividends and
distributions............... (.16) (2.15) (2.84) (1.18) (.48)
-------- -------- -------- -------- --------
Net asset value, end of
period...................... $ 16.88 $ 17.17 $ 16.00 $ 17.44 $ 16.80
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... (.80%)++ 21.36% 9.49% 11.72% 13.78%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .43%* .42% .41% .45% .42%
======== ======== ======== ======== ========
Investment income -- net...... 2.83%* 1.84% 2.75% 2.69% 3.02%
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $230,738 $241,699 $231,144 $248,505 $232,530
======== ======== ======== ======== ========
Portfolio turnover............ 58.94% 106.83% 124.92% 108.04% 160.89%
======== ======== ======== ======== ========
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
++++ Amount is less than $.01 per share.
67
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH STOCK PORTFOLIO
------------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED --------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: JUNE 30, 2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS
HAVE BEEN DERIVED FROM INFORMATION
PROVIDED IN THE FINANCIAL STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period... $ 38.03 $ 36.70 $ 32.82 $ 27.79 $ 24.06
-------- -------- -------- -------- --------
Investment income -- net.......... .06 .31 .19 .24 .32
Realized and unrealized gain (loss) on
investments and foreign currency
transactions -- net............. 2.60 12.06 10.00 8.01 4.24
-------- -------- -------- -------- --------
Total from investment operations... 2.66 12.37 10.19 8.25 4.56
-------- -------- -------- -------- --------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income -- net........ --++++ (.49) (.24) (.18) (.24)
In excess of investment
income -- net................. -- -- -- -- --
Realized gain on
investments -- net............ (.74) (10.55) (6.07) (3.04) (.59)
-------- -------- -------- -------- --------
Total dividends and distributions... (.74) (11.04) (6.31) (3.22) (.83)
-------- -------- -------- -------- --------
Net asset value, end of period.... $ 39.95 $ 38.03 $ 36.70 $ 32.82 $ 27.79
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:**
Based on net asset value per share... 6.87%++ 38.99% 38.18% 33.75% 19.57%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses.......................... .37%* .37% .37% .37% .38%
======== ======== ======== ======== ========
Investment income -- net........ .29%* .86% .61% .86% 1.25%
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands)...................... $675,985 $623,403 $456,228 $333,023 $240,666
======== ======== ======== ======== ========
Portfolio turnover................ 43.11% 90.44% 60.69% 84.90% 78.04%
======== ======== ======== ======== ========
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
++++ Amount is less than $.01 per share.
See Notes to Financial Statements.
68
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD PORTFOLIO
-------------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED --------------------------------------
JUNE 30, 2000+ 1999+ 1998+ 1997+ 1996+
<S> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
period...................... $ 7.45 $ 7.90 $ 9.19 $ 9.15 $ 8.99
-------- -------- -------- -------- --------
Investment income -- net...... .38 .77 .85 .90 .89
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... (.44) (.35) (1.29) .04 .16
-------- -------- -------- -------- --------
Total from investment
operations.................. (.06) .42 (.44) .94 1.05
-------- -------- -------- -------- --------
LESS DIVIDENDS &
DISTRIBUTIONS:
Investment income -- net...... (.32) (.85) (.85) (.90) (.89)
In excess of investment
income -- net............... -- (.02) -- -- --
Realized gain on
investments -- net.......... -- -- -- -- --
-------- -------- -------- -------- --------
Total dividends and
distributions............... (.32) (.87) (.85) (.90) (.89)
-------- -------- -------- -------- --------
Net asset value, end of
period...................... $ 7.07 $ 7.45 $ 7.90 $ 9.19 $ 9.15
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... (.85%)++ 5.85% (5.19%) 10.74% 12.32%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .40%* .39% .39% .39% .39%
======== ======== ======== ======== ========
Investment income -- net...... 10.46%* 9.98% 9.86% 9.67% 9.77%
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $ 99,227 $ 99,217 $116,610 $143,764 $123,643
======== ======== ======== ======== ========
Portfolio turnover............ 19.90% 57.86% 47.69% 60.94% 50.48%
======== ======== ======== ======== ========
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
++++ Amount is less than $.01 per share.
69
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Continued)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT PORTFOLIO
------------------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED -----------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: JUNE 30, 2000+ 1999+ 1998+ 1997+ 1996+
<S> <C> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS
HAVE BEEN DERIVED FROM INFORMATION
PROVIDED IN THE FINANCIAL STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period... $ 10.45 $ 11.32 $ 11.08 $ 10.93 $ 11.41
-------- -------- -------- -------- --------
Investment income -- net........ .34 .67 .71 .73 .76
Realized and unrealized gain (loss) on
investments and foreign currency
transactions -- net........... .08 (.81) .25 .15 (.49)
-------- -------- -------- -------- --------
Total from investment operations... .42 (.14) .96 .88 .27
-------- -------- -------- -------- --------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income -- net........ (.28) (.73) (.72) (.73) (.75)
Realized gain on
investments -- net............ -- -- -- -- --
-------- -------- -------- -------- --------
Total dividends and distributions... (.28) (.73) (.72) (.73) (.75)
-------- -------- -------- -------- --------
Net asset value, end of period.... $ 10.59 $ 10.45 $ 11.32 $ 11.08 $ 10.93
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:**
Based on net asset value per share... 4.12%++ (1.25%) 8.94% 8.42% 2.61%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses.......................... .39%* .38% .37% .37% .38%
======== ======== ======== ======== ========
Investment income -- net........ 6.51%* 6.15% 6.44% 6.74% 6.85%
======== ======== ======== ======== ========
Investment income -- net, and realized
gain on investments -- net.... -- -- -- -- --
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands)...................... $208,323 $215,964 $240,583 $222,212 $221,863
======== ======== ======== ======== ========
Portfolio turnover................ 67.83% 206.20% 65.67% 41.23% 29.35%*
======== ======== ======== ======== ========
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
++++ Amount is less than $.01 per share.
See Notes to Financial Statements.
70
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LONG TERM CORPORATE BOND PORTFOLIO
---------------------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED ----------------------------------------------
JUNE 30, 2000+ 1999+ 1998+ 1997+ 1996+
<S> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
period...................... $ 10.83 $ 11.91 $ 11.72 $ 11.53 $ 12.02
-------- --------- --------- --------- ---------
Investment income -- net...... .37 .74 .75 .79 .80
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... (.16) (1.02) .21 .18 (.50)
-------- --------- --------- --------- ---------
Total from investment
operations.................. .21 (.28) .96 .97 .30
-------- --------- --------- --------- ---------
LESS DIVIDENDS &
DISTRIBUTIONS:
Investment income -- net...... (.31) (.80) (.77) (.78) (.79)
Realized gain on
investments -- net.......... -- -- -- -- --
-------- --------- --------- --------- ---------
Total dividends and
distributions............... (.31) (.80) (.77) (.78) (.79)
-------- --------- --------- --------- ---------
Net asset value, end of
period...................... $ 10.73 $ 10.83 $ 11.91 $ 11.72 $ 11.53
======== ========= ========= ========= =========
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... 2.00%++ (2.35%) 8.45% 8.80% 2.77%
======== ========= ========= ========= =========
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .39%* .39% .38% .38% .39%
======== ========= ========= ========= =========
Investment income -- net...... 6.94%* 6.54% 6.39% 6.87% 6.90%
======== ========= ========= ========= =========
Investment income -- net, and
realized gain on
investments -- net.......... -- -- -- -- --
======== ========= ========= ========= =========
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $114,257 $ 120,007 $ 131,729 $ 124,746 $ 117,988
======== ========= ========= ========= =========
Portfolio turnover............ 48.82% 110.90% 106.93% 107.02% 92.45%
======== ========= ========= ========= =========
<CAPTION>
MONEY RESERVE PORTFOLIO
--------------------------------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED ------------------------------------------------------
JUNE 30, 2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------
------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
period...................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
Investment income -- net...... .03 .05 .05 .05 .05
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... --++++ --++++ --++++ --++++ --++++
-------- -------- -------- -------- --------
Total from investment
operations.................. .03 .05 .05 .05 .05
-------- -------- -------- -------- --------
LESS DIVIDENDS &
DISTRIBUTIONS:
Investment income -- net...... (.03) (.05) (.05) (.05) (.05)
Realized gain on
investments -- net.......... --+ --+ --+ --+ --+
-------- -------- -------- -------- --------
Total dividends and
distributions............... (.03) (.05) (.05) (.05) (.05)
-------- -------- -------- -------- --------
Net asset value, end of
period...................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... 5.89%++ 5.01% 5.42% 5.43% 5.33%
======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS:
Expenses...................... .36%* .37% .36% .36% .36%
======== ======== ======== ======== ========
Investment income -- net...... -- -- -- -- --
======== ======== ======== ======== ========
Investment income -- net, and
realized gain on
investments -- net.......... 5.82%* 4.91% 5.26% 5.30% 5.16%
======== ======== ======== ======== ========
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $524,398 $567,363 $578,802 $525,717 $557,690
======== ======== ======== ======== ========
Portfolio turnover............ -- -- -- -- --
======== ======== ======== ======== ========
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
++++ Amount is less than $.01 per share.
71
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Financial Highlights (Concluded)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MULTIPLE STRATEGY PORTFOLIO
---------------------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED ----------------------------------------------
INCREASE (DECREASE) IN NET ASSET VALUE: JUNE 30, 2000+ 1999+ 1998+ 1997+ 1996+
<S> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA AND RATIOS
HAVE BEEN DERIVED FROM INFORMATION
PROVIDED IN THE FINANCIAL STATEMENTS.
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period... $ 18.19 $ 18.17 $ 18.97 $ 17.13 $ 17.24
---------- ---------- ---------- ---------- ----------
Investment income -- net........ .23 .35 .43 .47 .53
Realized and unrealized gain (loss) on
investments and foreign currency
transactions -- net........... .20 2.99 1.35 2.57 1.63
---------- ---------- ---------- ---------- ----------
Total from investment operations... .43 3.34 1.78 3.04 2.16
---------- ---------- ---------- ---------- ----------
LESS DIVIDENDS & DISTRIBUTIONS:
Investment income -- net........ (.03) (.70) (.57) (.29) (.60)
In excess of investment
income -- net................. -- (.06) -- -- --
Realized gain on
investments -- net............ (.18) (2.56) (2.01) (.91) (1.67)
---------- ---------- ---------- ---------- ----------
Total dividends and distributions... (.21) (3.32) (2.58) (1.20) (2.27)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period.... $ 18.41 $ 18.19 $ 18.17 $ 18.97 $ 17.13
========== ========== ========== ========== ==========
TOTAL INVESTMENT RETURN:**
Based on net asset value per share... 2.32%++ 20.21% 10.83% 19.17% 14.32%
========== ========== ========== ========== ==========
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of reimbursement.... .39%* .39% .38% .39% .39%
========== ========== ========== ========== ==========
Expenses.......................... .39%* .39% .38% .39% .39%
========== ========== ========== ========== ==========
Investment income -- net........ 2.51%* 2.00% 2.45% 2.65% 3.26%
========== ========== ========== ========== ==========
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands)...................... $1,403,434 $1,442,018 $1,340,253 $1,329,531 $1,211,185
========== ========== ========== ========== ==========
Portfolio turnover................ 58.05% 106.04% 110.08% 108.41% 143.82%
========== ========== ========== ========== ==========
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
See Notes to Financial Statements.
72
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NATURAL RESOURCES PORTFOLIO
-------------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED --------------------------------------
JUNE 30, 2000+ 1999+ 1998+ 1997+ 1996+
<S> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
THE FOLLOWING PER SHARE DATA
AND RATIOS HAVE BEEN DERIVED
FROM INFORMATION PROVIDED IN
THE FINANCIAL STATEMENTS.
PER SHARE OPERATING
PERFORMANCE:
Net asset value, beginning of
period...................... $ 8.30 $ 6.86 $ 8.12 $ 9.19 $ 8.17
------- -------- -------- -------- -------
Investment income -- net...... .05 .11 .15 .14 .16
Realized and unrealized gain
(loss) on investments and
foreign currency
transactions -- net......... 1.54 1.60 (1.23) (1.14) 1.03
------- -------- -------- -------- -------
Total from investment
operations.................. 1.59 1.71 (1.08) (1.00) 1.19
------- -------- -------- -------- -------
LESS DIVIDENDS &
DISTRIBUTIONS:
Investment income -- net...... -- (.27) (.18) (.07) (.17)
In excess of investment
income -- net............... -- -- -- -- --
Realized gain on
investments -- net.......... -- -- -- -- --
------- -------- -------- -------- -------
Total dividends and
distributions............... -- (.27) (.18) (.07) (.17)
------- -------- -------- -------- -------
Net asset value, end of
period...................... $ 9.89 $ 8.30 $ 6.86 $ 8.12 $ 9.19
======= ======== ======== ======== =======
TOTAL INVESTMENT RETURN:**
Based on net asset value per
share....................... 19.16%++ 25.50% (13.57%) (10.97%) 14.72%
======= ======== ======== ======== =======
RATIOS TO AVERAGE NET ASSETS:
Expenses, net of
reimbursement............... .50%* .50% .50% .50% .50%
======= ======== ======== ======== =======
Expenses...................... .64%* .59% .63% .59% .57%
======= ======== ======== ======== =======
Investment income -- net...... 1.08%* 1.40% 1.94% 1.65% 1.79%
======= ======== ======== ======== =======
SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands).................. $15,460 $ 12,764 $ 11,764 $ 17,352 $25,029
======= ======== ======== ======== =======
Portfolio turnover............ 29.58% 73.71% 29.62% 24.10% 31.29%
======= ======== ======== ======== =======
</TABLE>
* Annualized.
** Total investment returns exclude insurance-related fees and expenses.
+ Based on average shares outstanding.
++ Aggregrate total investment return.
73
<PAGE>
(This page has been left blank intentionally.)
74
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements
--------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES:
Merrill Lynch Series Fund, Inc. (the "Fund") is registered under the Investment
Company Act of 1940 as a diversified, open-end management investment company,
with the exceptions of Global Strategy Portfolio and Natural Resources
Portfolio, which are classified as non-diversified. The Fund's financial
statements are prepared in accordance with accounting principles generally
accepted in the United States of America, which may require the use of
management accruals and estimates. These unaudited financial statements reflect
all adjustments, which are, in the opinion of management, necessary to a fair
statement of the results for the interim period presented. All such adjustments
are of a normal, recurring nature. The Fund offers its shares to Merrill Lynch
Life Insurance Company, ML Life Insurance Company of New York (indirect
wholly-owned subsidiaries of Merrill Lynch & Co., Inc. ("ML & Co.") and Monarch
Life Insurance Company (an insurance company not affiliated with ML & Co.))
separate accounts to fund benefits under certain variable life insurance
contracts. The following is a summary of significant accounting policies
followed by the Fund.
(a) VALUATION OF INVESTMENTS -- Money Reserve and Multiple Strategy Portfolios:
Investments maturing more than sixty days after the valuation date are valued at
the most recent bid price or yield equivalent as obtained from dealers that make
markets in such securities. When such securities are valued with sixty days or
less to maturity, the difference between the valuation existing on the
sixty-first day before maturity and maturity value is amortized on a
straight-line basis to maturity. Investments maturing within sixty days from
their date of acquisition are valued at amortized cost, which approximates
market value. For the purpose of valuation, the maturity of a variable rate
certificate of deposit is deemed to be the next coupon date on which the
interest rate is to be adjusted.
Balanced, Capital Stock, Global Strategy, Growth Stock, High Yield, Intermediate
Government Bond, Long Term Corporate Bond, Multiple Strategy and Natural
Resources Portfolios: Portfolio securities that are traded on stock exchanges
are valued at the last sale price as of the close of business on the day the
securities are being valued or, lacking any sales, at the closing bid price.
Securities other than money market securities traded in the over-the-counter
market are valued at the last available bid price prior to the time of
valuation. Portfolio securities that are traded both in the over-the-counter
market and on a stock exchange are valued according to the broadest and most
representative market, and it is expected that for debt securities this
ordinarily will be the over-the-counter market. Short-term securities are valued
at amortized cost, which approximates market value.
Options written or purchased are valued at the last sale price in the case of
exchange-traded options. In the case of options traded in the over-the-counter
market, valuation is the last asked price (options written) or the last bid
price (options purchased). Futures contracts are valued at settlement price at
the close of the applicable exchange. Securities and assets for which market
quotations are not readily available are valued at fair value as determined in
good faith by or under the direction of the Board of Directors of the Fund.
(b) REPURCHASE AGREEMENTS -- The Fund invests in US Government securities
pursuant to repurchase agreements. Under such agreements, the counterparty
agrees to repurchase the security at a mutually agreed upon time and price. The
Fund takes possession of the underlying securities, marks to market such
securities and, if necessary, receives additional securities daily to ensure
that the contract is fully collateralized. If the counterparty defaults and the
fair value of the collateral declines, liquidation of the collateral by the Fund
may be delayed or limited.
(c) INCOME TAXES -- It is the Fund's policy to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable income to its shareholders.
Therefore, no Federal income tax provision is required. Under the applicable
foreign tax law, a withholding tax may be imposed on interest, dividends and
capital gains at various rates.
(d) SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
recorded on the dates the transactions are entered into (the trade dates).
Dividend income is recorded on the ex-dividend
75
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
--------------------------------------------------------------------------------
dates. Dividends from foreign securities where the ex-dividend date may have
passed are subsequently recorded when the Portfolios have determined the
ex-dividend date. Interest income (including amortization of premium and
discount) is recognized on the accrual basis. Realized gains and losses on
security transactions are determined on the identified cost basis.
(e) PREPAID REGISTRATION FEES -- Prepaid registration fees are charged to
expense as the related shares are issued.
(f) DERIVATIVE FINANCIAL INSTRUMENTS -- The Fund may engage in various portfolio
investment techniques to increase or decrease the level of risk to which the
Fund is exposed more quickly and efficiently than transactions in other types of
investments. Losses may arise due to changes in the value of the contract or if
the counterparty does not perform under the contract.
- FOREIGN CURRENCY OPTIONS AND FUTURES -- Certain Portfolios may also purchase
or sell listed or over-the-counter foreign currency options, foreign currency
futures and related options on foreign currency futures as a short or long hedge
against possible variations in foreign exchange rates. Such transactions may be
effected with respect to hedges on non-US dollar denominated securities owned by
the Portfolio, sold by the Portfolio but not yet delivered, or committed or
anticipated to be purchased by the Portfolio.
- FORWARD FOREIGN EXCHANGE CONTRACTS -- Capital Stock, Global Strategy, Multiple
Strategy and Natural Resources Portfolios are authorized to enter into forward
foreign exchange contracts as a hedge against either specific transactions or
portfolio positions. Such contracts are not entered on the Portfolio's records.
However, the effect on operations is recorded from the date the Portfolio enters
into such contracts.
- OPTIONS -- Certain Portfolios are authorized to write and purchase call and
put options. When a Portfolio writes an option, an amount equal to the premium
received by the Portfolio is reflected as an asset and an equivalent liability.
The amount of the liability is subsequently marked to market to reflect the
current market value of the option written. When a security is purchased or sold
through an exercise of an option, the related premium paid (or received) is
added to (or deducted from) the basis of the security acquired or deducted from
(or added to) the proceeds of the security sold. When an option expires (or the
Portfolio enters into a closing transaction), the Portfolio realizes a gain or
loss on the option to the extent of the premiums received or paid (or gain or
loss to the extent the cost of the closing transaction exceeds the premium paid
or received).
Written and purchased options are non-income producing investments.
- FINANCIAL FUTURES CONTRACTS -- Multiple Strategy and Natural Resources
Portfolios may purchase or sell financial futures contracts and options on such
futures contracts for the purpose of hedging the market risk on existing
securities or the intended purchase of securities. Futures contracts are
contracts for delayed delivery of securities at a specific future date and at a
specific price or yield. Upon entering into a contract, the Portfolio deposits
and maintains as collateral such initial margin as required by the exchange on
which the transaction is effected. Pursuant to the contract, the Portfolio
agrees to receive from or pay to the broker an amount of cash equal to the daily
fluctuation in the value of the contract . Such receipts or payments are known
as variation margin and are recorded by the Portfolio as unrealized gains or
losses. When the contract is closed, the Portfolio records a realized gain or
loss equal to the difference between the value of the contract at the time it
was opened and the value at the time it was closed.
(g) FOREIGN CURRENCY TRANSACTIONS -- Transactions denominated in foreign
currencies are recorded at the exchange rate prevailing when recognized. Assets
and liabilities denominated in foreign currencies are valued at the exchange
rate at the end of the period. Foreign currency transactions are the result of
settling (realized) or valuing (unrealized) assets or liabilities expressed in
foreign currencies into US dollars. Realized and unrealized gains or losses from
investments include the effects of foreign exchange rates on investments.
76
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
--------------------------------------------------------------------------------
(h) DIVIDENDS AND DISTRIBUTIONS -- Dividends and distributions paid by the Fund
are recorded on the ex-dividend dates. Distributions in excess of investment
income are due primarily to differing tax treatments for foreign currency
transactions.
2. INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH AFFILIATES:
The Fund has entered into an Investment Advisory Agreement with Merrill Lynch
Investment Managers, L.P. ("MLIM"). The general partner of MLIM is Princeton
Services, Inc. ("PSI"), an indirect wholly-owned subsidiary of ML & Co., which
is the limited partner. The Fund has also entered into a Distribution Agreement
and Distribution Plans with FAM Distributors, Inc. ("FAMD" or the
"Distributor"), which is a wholly-owned subsidiary of Merrill Lynch Group, Inc.
MLIM is responsible for the management of the Fund's portfolios and provides the
necessary personnel, facilities, equipment and certain other services necessary
to the operations of the Fund. For such services, the Fund pays a monthly fee
based upon the aggregate average daily value of the ten combined Portfolios' net
assets at the following annual rates: .50% of the Fund's average daily net
assets not exceeding $250 million, .45% of the next $50 million, .40% of the
next $100 million, .35% of the next $400 million, and .30% of average daily net
assets in excess of $800 million.
MLIM, Merrill Lynch Life Agency, Inc. and Monarch entered into an agreement that
provided that Monarch will reimburse the Fund's expenses with respect to each
Portfolio, to the extent that these expenses exceed .50% of the Portfolio's
average daily net assets. For the six months ended June 30, 2000, the Natural
Resources Portfolio was reimbursed in the amount of $9,469.
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), a subsidiary of
ML & Co., earned commissions on the execution of portfolio security transactions
aggregating $3,069 in the Balanced Portfolio, $22,799 in the Capital Stock
Portfolio, $31,905 in the Global Strategy Portfolio, $42,127 in the Growth Stock
Portfolio, $1,250 in the High Yield Portfolio, $94,283 in the Multiple Strategy
Portfolio, and $1,741 in the Natural Resources Portfolio for the six months
ended June 30, 2000.
Financial Data Services, Inc. ("FDS"), a wholly-owned subsidiary of ML & Co., is
the Fund's transfer agent.
During the six months ended June 30, 2000, Merrill Lynch Security Pricing
Service, an affiliate of MLPF&S, was paid by Balanced Portfolio $386; Global
Strategy $250; High Yield Portfolio $798; Intermediate Government Bond Portfolio
$986; Long Term Corporate Bond Portfolio $4,159; and
Multiple Strategy Portfolio $378 for security price quotations to compute the
net asset value of the Portfolios.
Accounting services are provided to the Fund by MLIM at cost.
Certain officers and/or directors of the Fund are officers and/or directors of
MLIM, FDS, PSI, FAMD, and/or ML & Co.
3. INVESTMENTS:
Purchases and sales of investments, excluding short-term securities, for the six
months ended June 30, 2000 were as follows:
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
CAPITAL GLOBAL GROWTH GOVERNMENT CORPORATE
BALANCED STOCK STRATEGY STOCK HIGH YIELD BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------------------------------
Total Purchases.......... $56,603,449 $181,379,669 $132,493,657 $278,172,051 $22,101,888 $137,659,136 $54,145,978
=========== ============ ============ ============ =========== ============ ===========
Total Sales.............. $58,797,855 $198,090,497 $141,052,109 $309,770,540 $17,833,798 $148,665,573 $58,804,333
=========== ============ ============ ============ =========== ============ ===========
<CAPTION>
MULTIPLE NATURAL
STRATEGY RESOURCES
PORTFOLIO PORTFOLIO
<S> <C> <C>
------------------------------
-------------------------
Total Purchases.......... $772,350,042 $3,832,520
============ ==========
Total Sales.............. $772,527,017 $3,873,013
============ ==========
</TABLE>
77
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
--------------------------------------------------------------------------------
As of June 30, 2000, unrealized appreciation/depreciation for Federal income tax
purposes were as follows:
<TABLE>
<CAPTION>
CAPITAL GLOBAL GROWTH HIGH
BALANCED STOCK STRATEGY STOCK YIELD
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------------
Appreciated securities........ $ 16,113,473 $106,784,791 $ 41,081,097 $181,154,179 $ 823,262
Depreciated securities........ (2,841,960) (14,827,541) (11,119,075) (44,529,273) (18,709,881)
------------ ------------ ------------ ------------ ------------
Net unrealized appreciation
(depreciation).............. $ 13,271,513 $ 91,957,250 $ 29,962,022 $136,624,906 $(17,886,619)
============ ============ ============ ============ ============
Cost for Federal income tax
purposes.................... $100,882,793 $334,584,377 $199,739,712 $553,258,581 $115,104,601
============ ============ ============ ============ ============
Net realized gains (losses) for the six months ended June 30, 2000 and net unrealized gains (losses)
as of June 30, 2000 were as follows:
</TABLE>
<TABLE>
<CAPTION>
GLOBAL STRATEGY
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO PORTFOLIO
----------------------- ------------------------ ------------------------
UNREALIZED REALIZED UNREALIZED
REALIZED UNREALIZED REALIZED GAINS GAINS GAINS
GAINS GAINS GAINS (LOSSES) (LOSSES) (LOSSES)
<S> <C> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------
Long-term securities.......... $3,380,002 $13,271,513 $47,849,890 $91,957,250 $12,545,527 $29,962,022
Short-term securities......... 33 -- -- -- -- --
Forward foreign exchange
contracts................... -- -- 419,652 (1,523) 934,693 67,827
Foreign currency
transactions................ -- -- 12,700 (29,248) (3,685,004) (2,963)
---------- ----------- ----------- ----------- ----------- -----------
Total......................... $3,380,035 $13,271,513 $48,282,242 $91,926,479 $ 9,795,216 $30,026,886
========== =========== =========== =========== =========== ===========
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares were as follows:
<CAPTION>
GROWTH STOCK PORTFOLIO HIGH YIELD PORTFOLIO
------------------------- --------------------------
REALIZED
GAINS UNREALIZED REALIZED UNREALIZED
(LOSSES) GAINS LOSSES LOSSES
<S> <C> <C> <C> <C>
-----------------------------------------------------
------------------------------
Long-term securities.......... $99,199,824 $136,624,906 $(5,867,520) $(17,886,619)
Short-term securities......... (100) -- (141) --
Forward foreign exchange
contracts................... -- -- -- --
Foreign currency
transactions................ (42,946) -- -- --
----------- ------------ ----------- ------------
Total......................... $99,156,778 $136,624,906 $(5,867,661) $(17,886,619)
=========== ============ =========== ============
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares
</TABLE>
<TABLE>
<CAPTION>
CAPITAL STOCK GLOBAL STRATEGY
BALANCED PORTFOLIO PORTFOLIO PORTFOLIO
------------------------ ------------------------ ------------------------
FOR THE SIX MONTHS ENDED DOLLAR DOLLAR DOLLAR
JUNE 30, 1999 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------
Shares sold................... 147,173 $ 2,187,075 407,630 $ 12,075,817 480,476 $ 8,152,815
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 47,189 710,197 270,900 8,238,089 125,137 2,169,878
-------- ----------- -------- ------------ ---------- ------------
Total issued.................. 194,362 2,897,272 678,530 20,313,906 605,613 10,322,693
Shares redeemed............... (662,407) (9,788,047) (849,774) (25,163,497) (1,011,940) (17,125,483)
-------- ----------- -------- ------------ ---------- ------------
Net increase (decrease)....... (468,045) $(6,890,775) (171,244) $ (4,849,591) (406,327) $ (6,802,790)
======== =========== ======== ============ ========== ============
<CAPTION>
GROWTH STOCK PORTFOLIO
------------------------
FOR THE SIX MONTHS ENDED DOLLAR
JUNE 30, 1999 SHARES AMOUNT
<S> <C> <C>
------------------------
------------------------------
Shares sold................... 1,214,003 $ 48,631,474
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 288,843 12,391,293
--------- ------------
Total issued.................. 1,502,846 61,022,767
Shares redeemed............... (975,593) (38,755,256)
--------- ------------
Net increase (decrease)....... 527,253 $ 22,267,511
========= ============
</TABLE>
<TABLE>
<CAPTION>
GLOBAL STRATEGY
BALANCED PORTFOLIO CAPITAL STOCK PORTFOLIO PORTFOLIO
------------------------ ------------------------ ------------------------
FOR THE YEAR ENDED DOLLAR DOLLAR DOLLAR
DECEMBER 31, 1999 SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------
Shares sold................... 612,976 $ 9,171,521 750,073 $ 20,134,480 838,946 $ 13,766,098
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 1,348,135 19,759,298 2,636,950 70,781,229 1,676,134 27,949,955
---------- ------------ ---------- ------------ ---------- ------------
Total issued.................. 1,961,111 28,930,819 3,387,023 90,915,709 2,515,080 41,716,053
Shares redeemed............... (1,233,661) (18,635,775) (1,953,568) (52,225,823) (2,884,877) (46,825,738)
---------- ------------ ---------- ------------ ---------- ------------
Net increase (decrease)....... 727,450 $ 10,295,044 1,433,455 $ 38,689,886 (369,797) $ (5,109,685)
========== ============ ========== ============ ========== ============
<CAPTION>
GROWTH STOCK PORTFOLIO
------------------------
FOR THE YEAR ENDED DOLLAR
DECEMBER 31, 1999 SHARES AMOUNT
<S> <C> <C>
------------------------
------------------------------
Shares sold................... 1,987,875 $ 71,412,836
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 4,209,592 147,745,182
---------- ------------
Total issued.................. 6,197,467 219,158,018
Shares redeemed............... (2,235,580) (79,121,031)
---------- ------------
Net increase (decrease)....... 3,961,887 $140,036,987
========== ============
</TABLE>
78
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Continued)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE LONG TERM
GOVERNMENT CORPORATE MONEY MULTIPLE NATURAL
BOND BOND RESERVE STRATEGY RESOURCES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------
Appreciated securities........ $ 746,274 $ 529,427 $ 9,573 $ 256,983,015 $ 3,348,988
Depreciated securities........ (4,681,480) (5,442,387) (326,146) (42,338,087) (559,166)
------------ ------------ ------------ -------------- -----------
Net unrealized appreciation
(depreciation).............. $ (3,935,206) $ (4,912,960) $ (316,573) $ 214,644,928 $ 2,789,822
============ ============ ============ ============== ===========
Cost for Federal income tax
purposes.................... $210,484,142 $117,210,630 $521,443,446 $1,185,729,586 $12,763,716
============ ============ ============ ============== ===========
Net realized gains (losses) for the six months ended June 30, 2000 and net unrealized gains (losses)
as of June 30, 2000 were as follows:
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT LONG TERM CORPORATE MONEY RESERVE
BOND PORTFOLIO BOND PORTFOLIO PORTFOLIO
------------------------ ------------------------ --------------------
REALIZED UNREALIZED REALIZED UNREALIZED REALIZED UNREALIZED
LOSSES LOSSES LOSSES LOSSES GAINS LOSSES
<S> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------------
Long-term securities.......... $(3,303,978) $(3,935,206) $(2,837,467) $(4,912,960) -- --
Short-term securities......... -- -- -- -- $3,165 $(316,573)
Forward foreign exchange
contracts................... -- -- -- -- -- --
Foreign currency
transactions................ -- -- -- -- -- --
----------- ----------- ----------- ----------- ------ ---------
Total......................... $(3,303,978) $(3,935,206) $(2,837,467) $(4,912,960) $3,165 $(316,573)
=========== =========== =========== =========== ====== =========
<CAPTION>
NATURAL RESOURCES
MULTIPLE STRATEGY PORTFOLIO PORTFOLIO
---------------------------- ----------------------------
REALIZED UNREALIZED UNREALIZED
GAINS GAINS REALIZED GAINS
(LOSSES) (LOSSES) GAINS (LOSSES)
<S> <C> <C> <C> <C>
------------------------------------------------------------
------------------------------
Long-term securities.......... $80,599,232 $214,644,928 $412,334 $2,789,822
Short-term securities......... (12,173) -- -- --
Forward foreign exchange
contracts................... 2,791,905 144,380 -- --
Foreign currency
transactions................ (58,580) (12,359) 262 (101)
----------- ------------ -------- ----------
Total......................... $83,320,384 $214,776,949 $412,596 $2,789,721
=========== ============ ======== ==========
</TABLE>
4. CAPITAL SHARE TRANSACTIONS:
Transactions in capital shares were as follows:
<TABLE>
<CAPTION>
INTERMEDIATE
GOVERNMENT BOND LONG TERM CORPORATE
HIGH YIELD PORTFOLIO PORTFOLIO BOND PORTFOLIO
------------------------ ------------------------ ------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------
Shares sold................... 3,595,585 $ 25,759,065 514,765 $ 5,405,035 323,321 $ 3,480,450
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 573,997 4,117,394 544,805 5,694,255 316,417 3,389,644
---------- ------------ ---------- ------------ ---------- ------------
Total issued.................. 4,169,582 29,876,459 1,059,570 11,099,290 639,738 6,870,094
Shares redeemed............... (3,444,764) (25,073,024) (2,069,948) (21,693,349) (1,080,762) (11,628,711)
---------- ------------ ---------- ------------ ---------- ------------
Net increase (decrease)....... 724,818 $ 4,803,435 (1,010,378) $(10,594,059) (441,024) $ (4,758,617)
========== ============ ========== ============ ========== ============
<CAPTION>
MULTIPLE STRATEGY NATURAL RESOURCES
MONEY RESERVE PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------ ------------------------------ ------------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------
------------------------------
Shares sold................... 100,789,694 $ 100,789,694 198,354 $ 3,579,271 684,373 $ 6,446,740
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 15,706,193 15,706,193 858,847 16,008,904 -- --
------------ ------------- ---------- ------------ -------- -----------
Total issued.................. 116,495,887 116,495,887 1,057,201 19,588,175 684,373 6,446,740
Shares redeemed............... (159,517,353) (159,517,353) (4,119,166) (75,000,242) (659,077) (6,059,293)
------------ ------------- ---------- ------------ -------- -----------
Net increase (decrease)....... (43,021,466) $ (43,021,466) (3,061,965) $(55,412,067) 25,296 $ 387,447
============ ============= ========== ============ ======== ===========
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE
GOVERNMENT BOND LONG TERM CORPORATE
HIGH YIELD PORTFOLIO PORTFOLIO BOND PORTFOLIO
-------------------------- ------------------------ ------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------------------
Shares sold................... 9,447,464 $ 72,457,978 1,587,860 $ 17,371,016 899,017 $ 10,295,844
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 1,640,184 12,549,306 1,429,234 15,428,265 800,850 8,999,286
------------ ------------ ---------- ------------ ---------- ------------
Total issued.................. 11,087,648 85,007,284 3,017,094 32,799,281 1,699,867 19,295,130
Shares redeemed............... (12,540,850) (96,638,045) (3,603,546) (38,971,447) (1,676,060) (18,870,596)
------------ ------------ ---------- ------------ ---------- ------------
Net increase (decrease)....... (1,453,202) $(11,630,761) (586,452) $ (6,172,166) 23,807 $ 424,534
============ ============ ========== ============ ========== ============
<CAPTION>
MULTIPLE STRATEGY NATURAL RESOURCES
MONEY RESERVE PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------- ------------------------- ------------------------
DOLLAR DOLLAR DOLLAR
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------
------------------------------
Shares sold................... 247,045,323 $ 247,045,323 480,406 $ 8,506,913 1,537,019 $ 12,218,004
Shares issued to shareholders
in reinvestment of dividends
and distributions........... 27,846,014 27,846,014 13,983,607 242,426,372 60,003 436,658
------------ ------------- ---------- ------------- ---------- ------------
Total issued.................. 274,891,337 274,891,337 14,464,013 250,933,285 1,597,022 12,654,662
Shares redeemed............... (286,021,872) (286,021,872) (8,956,036) (157,217,257) (1,774,350) (14,048,108)
------------ ------------- ---------- ------------- ---------- ------------
Net increase (decrease)....... (11,130,535) $ (11,130,535) 5,507,977 $ 93,716,028 (177,328) $ (1,393,446)
============ ============= ========== ============= ========== ============
</TABLE>
79
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Notes to Financial Statements (Concluded)
--------------------------------------------------------------------------------
5. SHORT-TERM BORROWINGS:
On December 3, 1999, the Fund (excluding the Money Reserve Portfolio), along
with certain other funds managed by MLIM, entered into a one-year, unsecured
$1,000,000,000 credit agreement with The Bank of New York and certain other
institutions party thereto. The funds may borrow money for temporary or
emergency purposes to fund shareholder redemptions. The agreement bears interest
at the Federal Funds rate plus .50%. The Fund did not borrow from the facility
during the six months ended June 30, 2000.
6. CAPITAL LOSS CARRYFORWARDS:
At December 31, 1999, the Fund had capital loss carryforwards of approximately
$5,295,000 in the High Yield Portfolio, of which $231,000 expires in 2005,
$3,240,000 expires in 2006 and $1,824,000 expires in 2007; $8,142,000 in the
Intermediate Government Bond Portfolio, of which $2,768,000 expires in 2002,
$1,088,000 expires in 2003, and $1,822,000 expires in 2004, and $2,464,000
expires in 2007; $1,506,000 in the Long Term Corporate Bond Portfolio, $252,000
expires in 2002 and $1,254,000 expires in 2007; $2,941,000 in the Natural
Resources Portfolio, of which $297,000 expires in 2000, $1,330,000 expires in
2006, and $1,314,000 expires in 2007. These amounts will be available to offset
like amounts of any future taxable capital gains. Expired capital loss
carryforward in the amount of $348,764 and $154,874 in the High Yield and
Natural Resources Portfolios, respectively, has been reclassified to paid-in
capital in excess of par.
7. COMMITMENTS:
At June 30, 2000, the Global Strategy Portfolio and Natural Resources Portfolio
entered into foreign exchange contracts, in addition to the contracts listed in
the Schedule of Investments, under which they agreed to purchase various foreign
currencies with values of approximately $5,048,000 and $71,000, respectively;
the Capital Stock Portfolio, Global Strategy Portfolio and Multiple Strategy
Portfolio have entered into foreign exchange contracts under which they agreed
to sell various foreign currencies with values of approximately $6,155,000,
$2,734,000 and $3,242,000, respectively.
8. LOANED SECURITIES:
At June 30, 2000, the Global Strategy, Intermediate Government Bond, Long Term
Corporate Bond and Multiple Strategy Portfolios held US Treasury Notes having an
aggregate values of approximately $7,394,000, $1,125,000, $1,552,000 and
$1,844,000, respectively, as collateral for portfolio securities loaned having
market values of approximately $6,651,000, $1,034,000, $2,504,000 and
$1,552,000, respectively.
9. SUBSEQUENT EVENTS:
On July 3, 2000, the Board of Directors declared dividends and distributions per
share payable on July 3, 2000 to shareholders of record as of July 3, 2000 as
follows:
<TABLE>
<CAPTION>
ORDINARY
PORTFOLIO INCOME
<S> <C> <C>
-------------------------------------------------------------
High Yield........................................ $.062827
Intermediate Government Bond...................... .058194
Long Term Corporate Bond.......................... .061490
-------------------------------------------------------------
</TABLE>
80
<PAGE>
--------------------------------------------------------------------------------
MERRILL LYNCH SERIES FUND, INC.
Directors and Officers
--------------------------------------------------------------------------------
TERRY K. GLENN-President and Director
JACK B. SUNDERLAND-Director
STEPHEN B. SWENSRUD-Director
J. THOMAS TOUCHTON-Director
CHRISTOPHER G. AYOUB-Senior Vice President
ROBERT C. DOLL, JR.-Senior Vice President
LAWRENCE R. FULLER-Senior Vice President
VINCENT T. LATHBURY III-Senior Vice President
KEVIN J. MCKENNA-Senior Vice President
JOSEPH T. MONAGLE JR.-Senior Vice President
THOMAS R. ROBINSON-Senior Vice President
ROBERT M. SHEARER-Senior Vice President
JOEL HEYMSFELD-Vice President
ROBERT F. MURRAY-Vice President
JACQUELINE L. ROGERS-Vice President
DONALD C. BURKE-Treasurer
ALLAN J. OSTER-Secretary
PRINCIPAL OFFICE OF THE FUND
Box 9011
Princeton, New Jersey 08453-9011
CUSTODIAN
The Bank of New York
90 Washington Street
New York, New York 10286
TRANSFER AGENT
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, Florida 32246-6484
(800) 637-3863
81
<PAGE>
This report is authorized for distribution only to Policyowners of certain
variable life insurance policies which are funded by shares of Merrill Lynch
Series Fund, Inc. This report is not authorized for use as an offer of sale or
solicitation of an offer to buy shares of the Fund or the policies. Past
performance results shown in this report should not be considered a
representation of future performance. Investment return and principal value of
shares will fluctuate so that shares, when redeemed, may be worth more or less
than their original cost. Performance information used throughout this report
does not include insurance-related fees and expenses. An investment in Money
Reserve Portfolio is not insured or guaranteed by the Federal Deposit Insurance
Corporation or any other Government agency. Although Money Reserve Portfolio
seeks to preserve the value of your investment at $1.00 per share, it is
possible to lose money by investing in the Portfolio. Statements and other
information herein are as dated and are subject to change.
59828-6/00
